A bitcoin address is a bitcoin address, whether it is from your own wallet or with some online services hosted (shared) EWallet.
So yes, sending straight from BitInstant to Mt. Gox, for instance, works, you don't need to have it go through our own wallet first.
There is the situation where if both parties use the same hosted (shared) EWallet provider that the transaction will occur internally and the blockchain can't be used to prove that the payment was sent. Mt. Gox, for instance, has a checkbox on withdraws that says "Open Transaction" which means it will go through the blockchain even if the recipient also happens to be a Mt. Gox user.
There's one other detail ... you can't always assume that you can return coins to the address they came from though. So let's say BtiInstant sends you coins to your own wallet, you wouldn't just return them to the sender's address. You instead want the destination to let you know exactly which bitcoin address to use when returning funds.