Petrell: Considering number of games that need various directX9c libraries I don't see any point of not installing it. Yes, downloading single dll might work for single game but do you plan to do same for every game that require dx9 libraries (some may require multble libraries or specific version)? And do remember that dowloading dll from random site always carries a risk of infection.
MikeshCZ: Of course, this is issue probably with Windows 7, where DX is included in OS and game requires DX9. Don't know the details, this was first game which required this from me...
It was part of Microsoft's plan to force people to adobt Vista when it was introduced. They offered DirectX10+, Internet Explorer 9+ etc. support only on Vista claiming the new versions were impossible to port to XP (took few weeks from some hackers to hack DX10 to work on XP so it was obvious lie). As we know, the plan backfired spetaclularly and Vista only reached few percent adoption (caused IE to lose huge amount of users too and DX10 was never really adobted by devs and they only started moving to DX11 couple years ago). This is part of why you need to install DX9c to Vista and above separately (Vista comes with DX10 and Win7 DX11 preinstalled. I forget what Win8/8.1 has). It acts sort of legacy mode for pre Vista games and programs.