I'm no d3d expert, but it seems multisampling support in wine is still incomplete. There are many games for which it still does nothing. And yes, it's better to not install native directx unless the game really, really needs it... and even then, it's better to install just the one or two native DLLs the game needs rather than all of directx. 'winetricks d3dx9_36' installs the most commonly needed one, but you shouldn't do even that unless the game won't work without it.
