Is there any advantage or disadvantage to linking directly to the content on IMDB from SiteA and SiteB rather than going via my redirect?
From an SEO point-of-view, there wouldn't be much of an advantage using outbound links directly to the content on these third-party sites. When you link to external sites, you're essentially casting a vote for those sites as an authority, not your own site. In fact too many outbound links (e.g., thousands) could be viewed as link spam, though a reasonable amount to relevant sources might add some "value" - see this for more on that.
Conversely, if you're just linking to a redirect on
siteC.com for tracking purposes, that doesn't accomplish much either since that link isn't leading to content that's relevant to
siteB.com. It's also adding one more site to resolve and load, which slows down user experience.
Instead you should consider adding tracking code directly to
siteB.com, for example by using Google Analytics to track outbound links to these third-party sites, which would not only speed-up user experience by eliminating a redirect, but also increase the granularity of your tracking data since the events would occur directly on those sites, versus being passed through an intermediary site.