Space is freezing. Everywhere. Even close to the sun.
Sunshine has to have *something* to warm up, otherwise it’s just electromagnetic radiation flying through space.
A solar probe could have a radiation shield always pointed toward the sun, and the back side would still be minus a few hundred degrees, even inside of Mercury’s orbit.
On a planet however there’s an atmosphere that picks up the sunshine and turns it into heat. No amount of insulation would keep the heat out of a probe forever, unless there were some kind of active cooling system.
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