There were about 40 updates to DX9, each with a different d3d9x_*.dll. It's easier for MS to make that part of the DX redist than to bake it into Win7. (Incidentally, the redist will also update DX10/DX11 if/when updates of those things happen).

And yes, DX10/11 are not back compatible with DX9. The entire API model is quite different.