Wikipedia seems to imply that the plan for Red Dragon is a direct atmospheric entry. It makes sense, they don't have a second stage that would last long enough to get there. They don't have the delta-V to get the second stage into a mars transfer with a huge amount of fuel and I doubt there's much utility in spending the 2.3km/s (or thereabouts) of delta-v in getting from the Mars transfer to a low Mars orbit when you can just use aerobraking instead. In fact, it would be highly abnormal for a probe to visit Mars orbit before landing.

It could land directly, yes, but it makes use of the aerobrake for slow-down. Without that aerobrake it would not have enough fuel to do a powered landing all the way down and then return to orbit (I think -- I don't actually work for SpaceX; I'm just a fan). But it is my understanding that it has enough fuel to do a full propulsive landing from orbit and back again, without an aerobrake.

It's almost as if it weren't designed to land on the moon.