Actually, Wine provides the DirectX library by default because, you're right, it's necessary for games to be rendered. But Wine provides only the 8.1 version so that's why you can install DirectX9.
Why updating to DX9? Because for some games, you'll get better performances. But for some other games, it's better to use DX8.1. So it's up to you finally (and depending on the game of course )