Some of you will already have it, as I think it's installed by some popular games. The distribution doesn't include the D3DX DLL for various reasons, but there is a link in the help file to download the installer from Microsoft. It dynamically links to D3DX so that the DLL is only required if you are using the video shader support.
VirtualDub 1.6.11 uses d3dx9_25.dll, which is used by the April 2005 SDK. From what I gather, this is becoming quite a mess, because applications are forced to start the DirectX installer in their setup process, and lots of people are canceling it because they think they already have DirectX 9.0c installed, only to find that the application doesn't start because of a cryptic link error on the missing D3DX library.
I don't know about other ISVs, but personally, I like to ship applications in as few locally-contained files as possible and for them to never change unless I explicitly update them. Supposedly, part of the reasoning behind this is that it allows Microsoft to update a D3DX version after the fact if it happens to contain a security flaw. So, basically, the D3DX DLLs are treated as system DLLs, but they don't come with the OS or any patches to the OS, and every application is supposed to include one, even though it's often bigger than the application that uses it. Didn't modify the DirectXSetup installer UI between SDK versions, so it still says it's installing DirectX 9.0c even if it's installing a D3DX DLL you don't have.
More importantly, though, it is easier to quickly write an optimized shader than to write an optimized software filter.
GPUs are great for massive image manipulation (unless you happen to have one with "Extreme" in the name), and thus it's only natural that they'd be useful for video. As I said in the previous blog entry, one of the new features in 1.6.11 is the ability to bind custom vertex and pixel shaders to a video display pane.