I just downloaded latest. It never tries to install direct x.
Most likely Unreal is unable to detect that you had it installed. Or that the correct version was not found.
Win 10 should have dx 11.3 and dx12 installed. If you are using an OEM version of windows, or OEM version of Direct X that could be the issue. In either case, it should not be trying to install dx 12 on a win 10 machine.