I think this issue has been solved by now:
[url]Panda PhysX]
Starting with PhysX SDK 2.8.4 the deployment of PhysX libraries has been changed. It is now legal to ship all dlls (PhysXLoader, PhysXCore, NxCharacter, cuda runtime and so on…) together with a game. This way a PhysX-enabled game no longer requires the installation of the PhysX System Software.
We could change the Panda3D PhysX runtime module sometime.