An you really think thats a good idea. I'm going to go out on a limb and say the regular user just want to install a game a play, not have to go download some redist or some other requirement imposed by YOUR game. With that said other's have already mentioned the best practice where things are concerned. Stating that DX9 compatible PC has nothing to do with that error as any user can have a DX9 compatible PC and experience the issue you've mentioned.
until windows 8, you had to install dx to get both the d3d and d3dx files. this was usually done by installing some game that included the redistributable. as a consequence, pretty much everyone who had ever installed a dx game had dx installed already. so there was almost never a need to install dx. instead of increasing the game size by adding the dx redistributables which were almost never needed, and slowing down the install by running the dx install, which basically did nothing because it was already installed, i would simply provide links to the redistributable for those very few users who didn't already have dx installed. things haven't really changed much with win8 and win10. anyone who's ever run a dx9 game has the runtime installed already. and for the few who haven't, the choices are to provide a link to the files, or to increase the file size and add an extra setup step unnecessarily for everyone else. as dx9 games become less common, and win 8 and later become more common, adding the runtime setup to the game would probably be a good idea. but at this point in time, i think we're still at the point where including it would be an inconvenience for the majority of users - as they've installed a dx9 game before.