It says on Spiderweb website that the directX version of Avadon 2 is in the game folder. Well they lie, it's not there. Is this some sort of joke?

If i remember right there was a directx-version until 2015, it has been removed later.
You should try to contact the support...if they still support the game at all.

Contacted Spiderweb and they gave me the directX version. Apparently it's in the game if you buy it from Spiderweb itself but not here in the GoG version. Very strange.

Yes, as i said, it was part of all versions until 2015, then it was removed from Gog&Steam for some reason.
I don't know if the Steamversion got it back...

Is there a reason the DirectX version is more desirable?

Direct x is the APi(Application Programme Interface) used by many Windowsgames to "communicate" with Windows, Supporting programs(direct play, xmusic,... and the hardware, esp. input devices/graphik cards/...

Without directx parts of the game or the game at all wont run. There're workarounds for some of the problems but if you use windows as operating system it's the easiest if not the only way to make the game run properly.

Could a Windows user not make use of OpenGL to run Avadon 2 in place of DirectX?

Avadon 2 can be used with OpenGL without any additional work but as far as i remember the DX-version was faster and more stable...but this was years ago.

Overall, the problem is that DirectX is built around using Microsoft's COM, wich OpenGL can't use. OpenGL should work with all programming languages, if your're able to use C you can even make changes/personal adaptions and until 98 it was even faster but with modern graphic accelerators, a operating system designed to use DirectX and even a hardware designed to be used with windows...DirectX wins the race most the time.

I was told, if you use linux and/or are good using C to optimize, write your own software-mods OpenGL is better then DirectX but i have no personal experience with that.