No, the problem is that Vista, by default, uses DirectX 10. Vista can also
run legacy DX9 programs, but if you run a DX9 game in 'Vista mode' it will
(I'm uessing) try to use DX10 first, then DX9 second. If you run the program
in 'XP mode' it won't even look for DX10, so DX9 performance should be
better.
If you have a DX10 compatible video card (WDDM driver, basically if you can
enable glass, etc.) it will assume DX10 even if not using it for the desktop
(Basic or Classic modes).
DirectX 10 should be amazing when it comes out; the reports I've heard
suggest 30%-70% performance increase over DX9. If true, that should make for
unbeliveable gaming. A few games are already being ported to Vista and
natively using DX10, and I imagine at least a few new games will have it as
an option or even require it within a year of Vista's release. I,
personally, am looking forward to this. In the meanwhile, setting
compatibility mode for DX9 games isn't too much of a hassle.
* The above is based on second-hand information, rumor websites, and
speculation. Anybody with corrections or additinal information please reply.