Yes... ... ... and no.
DX10 and DX11 obviously both build on the functionality provided by DX9, as well as introducing new capability and support for the ever-evolving hardware. However, performance difference between the three doesn't necessarily increase as the version number increases. Unfortunately, there is no one particular reason as to why this is the case either. It simply "depends" (talk about sitting on the fence!)
DX9 games were often found to run a little quicker than their DX10 counterparts in *some* instances. The reasons for this were many - for example, developers wanted to take advantage of the new features in DX10, wanted to pump extra geometry and textures to the card, etc. and inevitably traded some performance simply to have the "DX10" support box ticked. The same rings true with DX11 vs. DX9 (and DX10) - although DX11 seems to fair a little better when compared to DX9 than perhaps DX10 did. Again, there is no hard and true reason as to why - it depends so much on the underlying hardware and driver revisions to name a couple.
Why didn't DX10 and DX11 blow folks' socks off? I don't know... perhaps we are (as 'hardcore' gamers) are expecting too much! From a developer point-of-view, I don't think that DX10 perhaps got the support it necessarily warranted... why? Well, it kind of came out at a time when developers were generally going through a change in the way they typically worked. That is, with the mass production and uptake of multicore/multiprocessor systems, developers had to refactor code bases, update engines, parallelise their code, etc. Coders out there know that this is no easy task at the best of times. The single/serial processing 'thread' era was abruptly coming to an end and multicore/processor was the way to go; hence a period of change for many.
Interestingly (more so with DX11 and future versions that are on the way) Microsoft have embraced the multiprocessor/core technology that is commonplace these days by introducing intelligent methods whereby DX can now render on separate thread(s) - something that was *very* tricky to do on earlier versions and something even trickier to do if you wanted half-decent performance!
I'm getting boring now so will stop there. To summarise, there is no real definitive answer. LOL!