DirectPlay is Microsoft's built-in MS proprietary network code for DirectX.
Very few titles use it, as it is a bloated pig, which requires specific code that will only run on Microsoft servers.
Is Microsoft lieing about the performance gains? Well, there are many ways to guage performance gains. All I can tell you is, there are no video performance gains to be had with DX9 over DX8.
In my opinion, the potential problems DX9 could introduce into a computer system do not justify its insallation yet.