It would be important to include the DX headers in a future official release, because they consist of several headers that have been merged into the Windows SDK on Microsoft side (like dshow.h and associates). A lot of programs will assume their presence and fail to build with mingw-w64. At least make an optional download that includes these differently licensed things.
Hi NightStrike,
As this feature-request is more a building thing, could you please take care about it.
Cheers,
Kai
PS: Yes, it is mainly reasoned by license that the direct-x sdk isn't installed in default. But maybe we could think to provide additional release-toolchain (not automated build, as already Ozkan does AFAIK), which has it installed by default. Other option would be here to provide a package which includes just the sdks/ and direct-x headers for optional installation (as add-on).