if you deployed a parachute in space, it won’t work because there’s no (read: very little) air to cause drag.
skipping that, once you do start reaching the edge of the atmoshpere proper, you’re moving at orbital speeds. i’m sure you’ve seen spacecraft descending, and they basically become a fireball once they hit the atmosphere. this is extreme heating caused by a lot of drag, causing significant decceleration. if you deployed a parachute here… it’s going to burn up immediately. by using the heatshield this is effectively doing the same job as a parachute, it’s just below rather than above, and it’s built to take the extreme heat.
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