Most PhD students have some kind of graduate degree, like a masters, but certainly there are still many who go straight from undergrad to a PhD. Maybe around 20% do a PhD without a masters or equivalent degree, but I may be very wrong in that guess, and things can change a lot over time.
It's hard to say whether you should skip a masters or not. If you have a very strong profile for PhD applications even without a masters, I think it's totally ok to skip it. But that's not the case of many people with a bachelor's degree.
If you do a masters as a step towards a PhD, then I think it's better to do something with a strong focus on research (not an MBA, for example). You will probably have a much better understanding about what academic research is, as well as some result to show during PhD applications, and a better chance of having stronger letters of recommendations if professors like you.
I think it's also important to say that, depending on what kind of research you are going to do, you may even prefer to study something else (like Economics, Engineering, or Psychology) instead of Management. You can check the background of professors, you will see a lot of different backgrounds.