So why don't we use Visual C++ and DirectX Library??

[Silverthorn]

Simply because c++ is on a totally different level than assembly. Assembly is telling the computer EXACTLY what to do, c++, however just says it indirectly.
It is not that easy to decompile an exe written in c++. This is why windows is so hard to understand if you look into all these files in the system32-folder. You can't directly see the source code, it's way harder to understand asm, where variable-values are just pushed around.
Long explanation, short summary: C++ <=/=> Debugged