If you cancel the Steam launch dialog during the first-run install phase any installers not run are never run anyway! If you reject the UAC elevation dialog the installers are never run anyway! The installers are run even if the version or a newer version of the program is installed. The installers are kept around after run, wasting disk space. The redistributable can only install the version that was bundled with the game. While the redistributable does not need to connect to the internet to install, the web installer has a smaller footprint (the DX installer remains on your PC with one copy for each game you installed that has it as a first-run prerequisite) AND will install the newest version of DX at the time when you run it. I noticed it seems customary to bundle the large redistributable rather than the web installer. More than likely the installer is run for every game simply because it needs to ensure DX is there, and the installer simply does nothing if DX is already uptodate. Doing anything else would be too complicated.

Installing the most recent version of DirectX should install ALL current versions of D3DX AFAIK. The linked forum post doesn't make too much sense to me.

Directx reinstall windows 10