Capturing into Mars orbit would consume a fair amount of fuel.
You can see this with Mars probes. They usually do one of three things.
- Propulsive capture into orbit
- Minimal propulsive capture, but aero breaking for the rest.
- Direct descent, no real breaking into orbit.
Every pound of fuel carried to Mars means lifting it from Earth, so minimizing fuel use is important.
SpaceX has discussed how they will enter the atmosphere and use it to kill speed/energy.
At the moment it is not known if they will do ANY kind of propulsive movement before entering the atmosphere, but the main plan appears to be direct descent and using the atmosphere to break before a propulsive landing at the very end.