Comment by phillip_kerger

Yes, order d is the minimal number of evaluations of gradients needed for the same problem! That has actually been known since 1979 (Nemirovsky and Yudin showed that), and there are methods with the same complexity so this question in the gradient model has been solved for a long time. "because you can approximate a gradient with d function evaluations" was exactly why d^2 made sense as a lower bound for this case! Basically, the lower bound question can also be thought about as "can you do better than approxing a gradient?", so this result says no.