I've just downloaded the most recent OpenCV Version from the website as I need the VC14 compiled DLLs. They don't have x86 compiled VC14 DLLs though unlike VC12.
Is there a reason for this that I am missing? Do I need to compile them myself? What's the reason for the change?
No, there is no specific reason. You probably should compile it yourself.
Side notes:
Just an opinion, I think those two reasons may explain why they did not pre-built it.