The updates are for the DLLs and other runtimes for DirectX. I wouldn't know about any performance improvements that come from these updates, but I know that some software will refuse to run properly without DX updates (e.g. the Power Supply test in OCCT). Game DVDs normally bundle a set of DirectX runtimes so people don't complain to tech support about cryptic DLL errors, but getting them from M$ directly gives you a more up to date version.
Although hardware and their drivers embed SUPPORT for DirectX, the DX itself is bundled in Windows. As evidence, this is why Windows XP + GeForce 8/9 / Radeon HD does not give you DX10 gaming, because the Windows doesn't support it (the reason for no DX10 on WinXP is a whole other debate).
Check out this outdated but still valid overview:
Just what is DirectX?
I'm no guru on DX however, so I won't mind if someone corrects / adds to / totally rips apart this post ;)