It depends on the gun and the extractor design. Some guns like the 92FS are designed to be able to load rounds directly into the chamber (in fact it's listed as one of the features of the 92FS). Others such as the Cougar, which is similar to the 92 in so many ways, are not. The Cougar should only be fed from the magazine or the extractor could be damaged. If you were to try to load a cartridge directly, you would find it binds up when closing. The latter is the norm, guns like the 92FS are the exception to the rule.
597 VTR, because there's so many cans and so little time!