Even so, it's still a bad idea. For the same reason it's a bad idea to install the latest nvidia drivers and then install nvidia drivers from a year ago without removing old drivers.
Strange, I'd say that not being able to play the games you spent a few hundred bucks on due to irrational fears (read: paranoia) would be a bad a idea. Opinions seem to differ
As Stefan9 said, it just adds the missing DX9 files, it doesn't overwrite, remove, corrupt, damage, obliterate, destroy, antagonise, bastardise, abuse, erode, endanger or threaten DX10 files or DX10-run games in any way, shape or form obvious or detrimental to the end-user. I can confirm that in the last however many months I've been using Win7 after using the DirectX Web Setup, I've had no issues whatsoever, be it in-game or out.
Whether there are people who
have had issues, I can't say. The only 100% sure-fire way to be certain if problems will arise for you, specifically, is to try it and see, or, alternatively, treat your PC as though it's a volatile mix of chemicals waiting to explode at an inopportune mouse click and, obviously, either stick to an older version of Windows or simply don't play any games that won't work without it.
*shrug* The choice is inevitably yours and yours alone.