Im not sure of the legality of it, but it is part of the redist package, instead of including just that DLL, you should consider including a "web installer" for the DirectX redistribution package. Microsoft's dx web installer will check if dx is installed or not and download/update as required.
If you are asking if you can run a directX application without directX being installed, then im not sure, I would guess not, but im sure there would be some inventive person that has figured out an emulator or something....
If it ain't broke.... DONT FIX IT !!!