I bricked my P3 Pro by skipping a bunch of updates, so hesitant to do it again on the Mavic Pro. Is safer nowadays to go straight to the latest FW?

I'm on V01.03.0700

Yes, it's perfectly fine to jump right to the firmware version you want to install.

Hello and good day Peely_Banana. Thank you for reaching out and for the inquiry. I highly recommend updating the firmware of your DJI Mavic Pro to its latest version for you to maximize the new features of the said new version. Also to avoid any possible errors and problems to the unit that is the reason why we need to make sure that the DJI Mavic Pro's firmware is always updated. Have a safe and happy flying always.

Yeah, I would

Latest version will contain all the relevant files, it's not dependant on any older versions.

Once you update to V01.04.0500 then the furthest you can roll back is to V01.04.0000.