The thing is in order to slow down you need fuel. Now you definitely dont want to carry that fuel when you can use the air to slow you down. Spaceships returning are using the air to slow down. Converting their kinetic energy into heat. (Which is by the way the principle behind almost all brakes. In cars the brake uses friction to convert kinetic energy to heat.) The shield shields the spacecraft from the heat, but its a lot easier to insulate than to use more fuel. They could slow down but its inefficient.
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