Out of all of the conjecture and philosophical discussion (which is also important...) nobody answered the original question from the OP. He wants to know why his w value is initialized to 1 when he only has a XYZ format for his vertex information. Its been really long since I worked with D3D9, so I couldn't say off the top of my head why that is. Can you describe how you managed to determine that the value is 1?
The original question isn't really very clear.
I would guess that it may be about this: If you have a vertex declaration entry for vertex position (D3DDECLUSAGE_POSITION) with the type D3DDECLTYPE_FLOAT3 and your vertex shader input parameter for position is float4, then w is automatically filled with w = 1, because that's what points need. I don't know whether for normal it would put 0 there, but I guess it would.
Anyway, I personaly have always been consistent in this and with D3DDECLTYPE_FLOAT3 I use float3 in shaders. And I add w manually.