This is because Microsoft do not ship the additional DirectX runtimes with the OS.  I will see if the message can be improved as it does initially feel strange.

It is perfectly safe to install the DX9 components on Windows 8 as they are helper dlls, they are not replacing any part of the OS.  Many games use these components and install them too, though perhaps with a nicer message.  If there were an issue you can be sure Microsoft would have blocked the installer running on Win8, though doing so would break many games that rely on the D3DX files!

DeskScapes 8 final will continue to use DirectX9 as this is the best choice for our needs.  Any DirectX 11 graphics card will run DirectX9 software.