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Hello!

I read on Winehq (http://wiki.winehq.org/FAQ#head-fbaa851e07d7484640cc10b6d0c48abc741260b2  ---> question 8.1), that I mustn't install Microsoft's Directx to play a game. Is it true when I'm installing a game? Because it usually asks me if I want to install Directx or not. 

Yeah, the winehq Wiki is lying!

Seriously .. no, i looked it up in the wine wiki, you do not have to install directx

As the FAQ says, Wine has its own implementation of DirectX, it doesn't support everything, but it's improving all the time. If some app works with it, it's usually the best choice, from stability and performance standpoint.
When it's not sufficient, it is possible to use parts of the native DirectX implementation with Wine. It requires extra care, so that's why just using the DirectX installer won't give good results, and that PlayOnLinux provides scripts to install subsets of DirectX in a controlled way (and so does winetricks, but we don't support the use of winetricks with PoL).
Configure button > (select virtual drive) > Install components tab

I'm afraid, i installed it along with DC Universe Online.Then how will I be able to remove it? Or should I do it?

I'm afraid, i installed it along with DC Universe Online.Then how will I be able to remove it? Or should I do it?

If you have issues, you can try installing the component on top and hope it'll fix what's needed.
Otherwise the only reliable way to remove something is to reinstall from scratch.

But if I delete that virtual drive, will directx, vcredist... etc. be deleted?

But if I delete that virtual drive, will directx, vcredist... etc. be deleted?

Obviously yes, this contains the whole environment