There is a technical distinction between the "latest DirectX" and whatever
version of some libraries in the SDK like D3DX9 that the game might use. No
version of D3DX9, D3DX10 or XACTENGINE comes with the OS. That's why we
still have a REDIST even with the OS comes with the 'core runtime' bits like
Direct3D, DirectSound, etc. built-in. The same thing is true of the Visual
Studio C Runtime. It doesn't come with the OS, so applications that use it
should REDIST it.
Game installers should include everything you need that doesn't come with
the OS. The game developers know which version of the DX SDK they used to
make the game, and that's the one they should include. They usually don't
need all dozen possible D3DX9 library versions, they just need one.
To cover cases where the installer is broken or for games that are so
worried about download size that even an extra 3 MBytes is too much, we have
the End User DirectX Runtime Installer at
http://www.microsoft.com/directx
that will just throw every possible DX SDK DLL that a game might need onto
your system.