Messenger needs to enter orbit to do this it has to be slow enough, these flyby's are designed for precisely the opposite of say Voyagers flyby's, they are designed to leak excess speed that Messenger will gather being that much closer to the sun. Flying in a straight line to Mercury would crash Messenger against the sun, I believe.

My understanding of the science details are limited but I'm sure one of the other posters will fill you in far better than I did.