The satellites are enclosed in a [protective fairing](https://upload.wikimedia.org/wikipedia/commons/f/ff/Payload_fairing_jettison.jpg) on the top of a rocket on their way up. When they get outside the atmosphere they eject the fairing which then falls back to Earth, then the satellite is sped the rest of the way up to get into a good orbit. The fairing has a huge area and not much mass so it falls back to Earth relatively slowly, they generally land in the ocean though SpaceX has been trying to catch theirs in a net to make them quicker to reuse.
The rocket also travels quite a bit slower while going up than the satellite would coming down. The rocket might be going Mach 10 when it gets to the really thin areas of the upper atmosphere but would be going significantly slower in the thicker sections. A satellite in Low Earth Orbit is traveling around Mach 22 and will quickly reach the denser parts of the atmosphere and experience far far more heating on the way down than the much slower rocket did on the way up.
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