You don't "NEED" it unless you are developing for 9.0, however, you'll need it soon in the future so why not just download it?
Depends on how you define 'need'. If you're happy with 8.1 so am I. I use 9.0 with win98 and winXP just because it's available (and directx8.0 with win95b). Not being a serious gamer I can only say that I've never noticed any improvement with 9.0, but then I don't think I've ever seen much improvement after installing any of the stuff I've download from Microsoft...except perhaps for the shutdown supplement for win98, I think that one helped.
Most games/apps that require a certain DirectX version will have it on the cd, so you useually don't need to download it. I only know of 1 game so far that requires it (freelancer.) I'm sure there's probably more already and in the near future many will require it. However I would say don't bother unless you need it already. I downloaded it for programming purposes, but I still do most of my audio/video programmin with DirectX 7.
I'm not sure about the OpenGL, I never use it. I believe it depends on your videocard driver and the app you're using.
I don't think that file contains all the necessary stuff; it might even be just a software OpenGL implementation. But all the stuff you need for it will be installed along with your video card drivers.