It's even deeper than the drivers from what I know. Modern video chips are physically designed for specific DirectX version compatibliity. For example:
GF2 supported DX7
GF3 supported DX8
GF4 supported DX8.1
GF FX will support DX9
When I was using my trusty old GF2 Pro I had DX8.1 installed along with the latest Detonator drivers yet I didn't have Pixel shaders and other DX8 features. This was most often evidenced when I ran 3DMark2001, my card couldn't complete all the tests.
So, to answer your question, installing the latest DirectX won't give you new features unless your card physically has those features. But installing the latest DirectX shouldn't hurt you either and it might even improve your overall stability by fixing bugs in the previous version of DirectX. FWIW, I have installed DX9 on my system with a GF4 Ti 4200 and it didn't break anything. My benchmark scores actually improved some too.
