In North American English, /ær/ is largely merged with /ɛr/ (= /er/ in the dictionaries' notation). According to the 2003 Harvard Dialect Survey, 57% of Americans merge all of Mary/merry/marry.
But when it comes to pronunciation, dictionaries aimed at non-native speakers of English try to reduce the amount of information their targeted readership needs to learn. As Michael Ashby, the phonetics editor of the sixth edition of the Oxford Advanced Learner's Dictionary, put it:
[The system adopted by the dictionary] has a number of features which are strictly speaking redundant from an American point of view (for instance, it uses length marks). The intention is that the redundant features can be overlooked by a user interested only in American pronunciation, but they serve the important function of permitting a single transcription to do for both accents in many cases. Thus seat is /siːt/ and need not be transcribed /siːt; US sit/.
Any learner of English needs to learn the difference between /æ/ and /e/ (= /ɛ/), as in bad and bed. But no American or Canadian will have trouble understanding you just because you pronounce marry with /æ/. So a learner's dictionary may choose not to teach the fact it's pronounced with /e/ by more than half of North Americans, because that would be to teach "You need to distinguish between /æ/ and /e/, except before /r/", which would be an additional thing for the learners to remember.