No, it is a suggestion.. If you already have the March 2008 DirectX installed, you should be fine.. XPSP 3 does not contain DirectX acording to the whitesheet.. however XPSP 2 did have DirectX 9.0b in it.. and XPSP 3 is an accumulation of the previous service pack plus all updates (minus Framework service packs and IE 7) up to March 27th, 2008. Any updates after March 2008 will have to be added by Wimdows Update..
I suggest to reinstall DirectX March 8, 2008 Redistributable as it will make sure your DirectX is clean (the 69.6 Mb package will reinstall DirextX completely) and the registry entries are correct in the event that the XPSP 3 accidentally alters it.. It is a precaution, not a necessity.