The Windows AMIs on G2s all have DirectX 11 support. Are you on Linux? Did you not run on a G2 instance type?
More importantly, have you followed the instructions and confirmed that you are logging in with the ORBX client?
http://aws.otoy.com/docs/If you are logging in only through RDP, well RDP has no GPU support. You will only get GPU/DirectX when you log in through the HTML/ORBX.js client.