Do you save money buying a guitar direct from the manufacturer?
Above is an SX (Rondo brand) Strat clone. The price? Cheap. That link goes to Amazon, and that is where I would buy the guitar from. Why? Mainly because I personally find it easier to buy through Amazon and there is no difference in price compared to buying from Rondo direct. In addition, there are many times when Rondo guitars will show up on Amazon that do not appear on their own web site.
Do you save money by buying direct?
Not with mass-produced guitars you don't, and certainly not with guitar accessories either.
Using Fender as an example, there is basically no difference in price between buying a guitar direct through fender.com vs. buying through Amazon. In fact, if you purposely bought a Fender through Amazon where the fulfillment is performed by Amazon.com themselves, you will find the return policy far more agreeable (Amazon may even pick up the tab for return shipping if you don't like the guitar after receiving it.)
Where guitar accessories are concerned, I've never seen direct-purchase sell for less compared to Amazon or eBay.
Is there any instance of where buying a guitar direct saves money?
When specifically buying from smaller guitar builders, buying direct is the best choice. And when I say "smaller," I'm referring to guys who build guitars in their own shops, usually at their homes. Many of these guys don't do eBay and certainly don't do Amazon either. If they did, they would have to tack on "middleman" fees. When buying direct, those middleman fees are eliminated, thereby saving you money.
With larger guitar builders, the price hardly changes if at all between direct and otherwise. But with the smaller builders, yes the price changes and you ordinarily will save a few bucks with a direct purchase.