DirectX doesn't support rendering to textures.
Yes it does, even DX7...
www.gamasutra.com/features/19991112/pallister_pfv.htm
Yeah, I think the issue was that, until very recently, Mark has always tried to make sure Blitz runs reasonably on all graphics cards, so never implemented this.
With the new capability detection command used for detecting cubic environment mapping support, it would be nice to see the render-to-texture feature made detectable/useable in the same way... unless it's related to past issues where it was found that DirectX and/or graphics drivers don't always reliably report the correct capabilities.