Seems on Windows 11 some old DX9 games may crash even if DX9 is installed. Like Alan Wake, MSGO Morrowind and probably others. Was able to fix it by copy to install folder file d3dx9_43.dll from DX9 setup (Jun2010_d3dx9_43_x86.cab).

Actually this video helped me a lot: https://youtu.be/O1CkyEogN3c?si=NVDX1_3cmrOjYd7L