As a TDD practitioner I feel that the first phase (Red) is very important to know that the problem you are trying to solve has not already been solved. And it worth starting to write production code. Other wise you might not know your code did that job or you code is redundant.
RGF teaches you the law of nature. You need to identify the problem before solving the problem. Red (exit code non zero) indicates that you have identified the problem area and now you need to solve it.
After the problem is solved, then you can refactor/improve the way you solved. May be you find you a better and efficient way to reach the destination.