This is from the FAQ page on M$ DirectX site.

Q.  Are there any known issues with regard to DirectX 9.0?
   
A.  Due to enhancements in the way DirectPlay functions, it is strongly recommended that all users who want to join or host multiplayer games upgrade to DirectX 9.0. A user with earlier versions of DirectX may have trouble joining or hosting games, or my see a significant performance reduction when playing with users who have 9.0 installed.

Some video card manufacturers have updated drivers that are specifically designed to work with DirectX 9.0. It's possible that these drivers will benefit performance, quality, or stability of games running DirectX 9.0. Please make sure you check with your video card manufacturer to see if such drivers exist for your video card.