When I sent a Messenger-ish probe to Moho, I had to fly past it once while burning in order to slow down enough for a capture next time. However, the burn bent my trajectory down towards the surface, and although I couldn't see it very well due to the darkness, it was clear that I was getting closer and closer. I thought I would crash and ruin everything, but the altimeter eventually started to tick back upwards, and just one lap around the Sun later, my probe could enter orbit around Moho.