There are lots of versions of DirectX9. I’m betting that 1.5.4 was compiled against an older version of DirectX9, and 1.6.0 was compiled against a new version. In order to run successfully against this newer version, you will have to download the latest DIrectX9 runtime; try using dxwebsetup.exe from Microsoft.
Does it really say “dsdx9_29.dll”, or does it say “d3dx9_29.dll”? The latter file is the name of the dll file for DirectX9 (there are lots of different version numbers of this file; you should have all of them in your c:/windows/system32 directory).
Which d3dx9_*.dll files do you have in c:/windows/system32?
Perhaps there is a bug in cube map support, either in your driver or in Panda’s dx8 and dx9 layers? I’m pretty sure that Panda’s support for cube maps works pretty well, though, so maybe it’s a driver issue on your end. What kind of graphics card do you have? Have you tried updating your graphics drivers?