There are two important reasons why it's better to distribute a full DirectX installer:

- The end user might still have DirectX 8, in which case the project with the included d3dx9_30.dll will probably just crash. This is the case on Win98, Win ME, Win 2000, and very early XP systems.
- The DirectX installer copies the d3dx9_30.dll into a Windows system folder, where it can be patched by a Microsoft security update if necessary - for instance when a severe bug in that DLL was discovered. If the DLL is in the project folder, Microsoft can't patch it.