can't I just send the serial output of the arduino over the Xbee at 115200baud, and convert the signal to DMX at the receiving end using the max485?
No, you cannot. The DMX serial signal must be sent at 250kbps, and sends an 88mS or larger (typically 100mS) break at the start of the frame.
Neither of these requirements can be met by the XBee hardware*.
The max485 chip is only an RS-485 transceiver. It doesn't translate or alter the bit rate or produce a break for you - it merely converts your digital serial signal to an RS-485 signal.
Therefore your plan will not work without additional effort.
You can use an Arduino or another microcontroller between the XBee and the max485 to do the translation for you. The Arduino would receive channel value updates at 115200bps from the XBee, and store them. It would then periodically send them out on the max485 by sending a break, then a frame's worth of data.
This should accomplish your goal of sending DMX channel information over the XBee.
* There is a programmable XBee that includes a microcontroller onboard. If you reprogram that, you may be able to generate the required signals, and then simply connect it to a max485.