From what I could find out about it in a few minutes of googling, Mega-D/Ozdok is a pretty typical smabot: It implements the STMP protocol internally and do handles retries to work around greylisting.
The email address used in the "from" part of the mail depends on the exact template that was sent to the bot. If you look at the fortigate description of the bot, you'll see what options could be used to built it and some samples. It doesn't seem to be using anything from the bot client's machine but it seems to often use the recipient's email in the from field (which means you can protect against these spam using SPF or DKIM).
The bots WILL send their mail through a SMTP server but that will be the recipient's SMTP server: what is referenced in the MX DNS record of their mail domain (or the A record if there is no MX but there is an A).
If you want an analogy to the real world, it's as if, instead of sending (regular) mail to your home through the postal system the spammer hired a lot of strangers to deliver it directly into your home's mail box.
As for whether each spambot has a SMTP server installed, the closer to an answer is: no, there is no SMTP server installed on the client that will accept and relay mail. However, it will accept spam templates from the CC servers as well as "job lists" containing the target email address and then act as a SMTP client to send these mails directly to the recipient's SMTP server.