I know that VST are virtual instrument plug ins that work wirh Cakewalk, CUbase, et al. What exactly is DX?
Not quite.
Firt, software plug-ins are a means of adding features and functionality to a software application. For example, there are many plug-ins available for Adobe Photoshop that allow it to do some exra things that are not part of the core program itself. The developers of Adobe wisely created an architecture that would allow third-party developers to add features and functionality within the framework of the Photoshop application.
VST is similar -- it's a plug-in architecture for adding features and functionality to audio recording software. It was created by Steinberg for Cubase originally but licensed to other application developers as well, and has come into common use, if not quite a standard.
Generally VST enables you to run audio in the host application through effects processing -- software reverbs, delays, EQ, etc., and to create sound too by means of VSTi -- VST instruments -- that are software synthesizers or samplers that plug into host applictions in mush the same way as VST effects do. Finally, the VST architecture provides a means of automating these effects over time.
Meanwhile there are other plug-in architectures, with various levels of support. DirectX is the most common one. Actually DirectX is a subsystem of Windows that allows programmers to get through the usual thick wad of overhead that the Windows environment layers between the computer's processing and the user interface to the hardware that needs to be accessed very quickly -- video and audio. Part of DirectX is a plug-in architecture with similar features to VST. It has the advantage of being the standard means for the Windows operating system, and so is available to Windows developers without having to pay a licensing fee to Steinberg. Among its disadvantages is that it's platform specific, while VST plug-ins and hosts work under Windows and Mac at least (and maybe Linux too?).
DirectX has something similar to VSTi, called -- you guessed it -- DXi.
As far as the plug-in code itself, I am pretty sure that the capabilities of DirectX and VST are more or less the same, so, at least in theory, and if good programming practices are followed, the DX and VST versions (as well as the MTAS and RAS and whatever other ones are out there) should have essentially the same core algorithms and do more or less the same thing to the sound.
I don't know why a company would charge so much less for a DX version unless perhaps the original version had been done for VST and the code was not written very intelligently and so there is a lot of reprogramming work involved in making the DX version. As a result, perhaps they only provide a subset of the features that the more "mature" VST version offers, and so they price it accordingly.