On top of the answers about fuel and gravity, there are other great reasons for going into orbits.
Go / no-go decisions: getting into a stable orbit gives you time to assess the condition of the spacecraft and its crew coming out of the previous phase of flight. Remediate anything that needs remediation, and if there’s a need to abort the mission and turn 180° then it’s better to do that using gravity than fuel.
Positioning accuracy: if you have a particular landing spot in mind then there’s a certain point back from that where you want to start your descent. If you *don’t* go into orbit first, then you have to end your previous phase of flight at *exactly* the right place, velocity and time. But if you get into a stable orbit first then you can determine where in the orbit you need to start that descent, and wait until you reach it. This way you only have to adjust your flight enough to make orbit.
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