I wonder whether I can apply for that Wellcome PhD thing, but not do the first year masters?

I would imagine that the MRes part of the course is compulsory

The Wellcome PhD first year is not so much a masters as a chance to try out three different labs and decide which one you want to do the rest of the PhD in, at least it is the case for the Dev Biol and the Infection/Immunity ones in Cambridge.