Light transfers energy. When light hits your skin it transfers energy to your skin. The amount of energy transferred determines how hot it feels as your skin heats up. Light can be scattered or focused to cause the amount of energy transferred to be more or less.
If you are in space, nothing is between you and the the sun, so you would be exposed to the entire amount of energy transferred by the light. That’s why astronauts have to wear visors. To not get an instant sunburn.
When you are outside on a bright sunny day, the upper atmosphere is scattering and absorbing most of the light and its energy. That’s why the entire sky is lit up, and the temperature in the sun and shade aren’t that different. Energy is more evenly distributed.
On a cloudy day, there is significantly more in the way of the light, and so the light is scattered even more and the energy that gets to your skin is even less.
At the same time, a magnifying glass can focus light into a smaller area, causing the energy that hits a particular part of your skin to be even higher than the surrounding area which is why it heats up so fast.
Soooo. In space nothing scatters the light. On earth, the atmosphere scatters the light. On a cloudy day, the clouds scatter it even more. And a magnifying glass can refocus that light into a smaller area.
I wonder how a magnifying glass in space would work. Bet it would make a pretty hot focus.