Keep in mind that the object orbiting is already falling. Orbiting earth is literally "falling around the earth", compared to "falling down to earth" which we are more familiar with from throwing rocks and whatnot.
So to go "straight down" either it would need to orbit the sun (instead of the earth) and have its orbit intersect that of the earth, like the meteors we're worried about, or it would need to do a very strong deceleration burn.
Either you do that with atmospheric drag, or a huge amount of fuel. The weight of heat protection is much lower and more efficient than the fuel option.
To continue moving "straight down" its angular velocity would need to be constant, which means as its altitude decreases the circumferential velocity would need to decrease. But gravity only pulls down, there's no force to accelerate it in that direction. So therefore it appears to curve off to the side.
What you need to protect is on the inside of the heat shield. Heat conduction is based on temperature difference and time[1] and the conduction of the material[2]. Since the heat shield tiles have a very low thermal conductivity, it takes a long time for significant heat to pass through.
Yes a more aggressive approach will lead to a greater temperature, but it'll also provide significantly greater drag, thus the the extreme temperatures only exist for a relatively short amount of time, and thus it doesn't have time to pass through the tiles and heat up the inside.
A very shallow approach has significantly less drag, and you spend significantly longer slowing down. The temperatures might be a fair bit less, but the much longer time spent decelerating means it has a chance to make it through the heat shield tiles.
It's not entirely unlike iron meteorites which can still be cold when landing, as they only spend a brief time in the atmosphere[3] and thus don't have time to heat up.
[1]: https://en.wikipedia.org/wiki/Heat_equation#Interpretation
[2]: https://en.wikipedia.org/wiki/Thermal_conductivity_and_resis...
[3]: https://earthscience.stackexchange.com/questions/127/what-te...