The directx 9 installer is not the problem. There are other ways to install directx9. Winetricks is the easiest. you can also use it to install the C++ 2005 redistribute.
So, you can install it just fine. Thats not the problem. It crashes after it boots. Some people are able to get it to open and close w/out crashing. But thats all they can do.
Native support would be better. But just because they provide OpenGL and other cross-platform technology's doesn't mean they can provide non-windows versions right away. although its a step in that direction.