I've never published a game on Steam, but i think that this only applies to the games which are uploaded to the Game Maker Workshop on Steam (Which is some sort of sandbox replacement for steam users.)
Games which were published on the "official" steam store don't have this kind of limitation. (If this was the case, probably 99% of Games would be in trouble as a lot of functionality is implemented via DLLs.)
You can check it yourself. Download any kind of game on Steam and check the games ressource directory. You will most likely find DLL files.
Even Game Maker itself already generates a D3DX9_43.dll file (if you export as a zipped windows executable).