Rovers normally roll off a lander, or are otherwise deployed by one. When I look at the design of ATHLETE, it isn't hard to imagine a rocket engine bolted underneath it, and ATHLETE's legs doing the job of absorbing landing impact and steadying itself. Given ATHLETE's robotic abilities, it also isn't hard to imagine it then unbolting the rocket engine and driving away from it. This seems like it would allow a mass savings. Is it that it is too hard to protect against the heat and vapors of the engines? Have designs like this been considered?
Yes, though not necessarily as the landing pads. One of its main imagined applications was to take payloads off of landers, as shown in the cartoon below. A single Athlete could do this for several payloads at the same site so that you wouldn't need another Athlete for every lander.
Also note that Curiosity landed on its wheels, so it is a lander that is a rover. (Once that system got to the terminal descent phase, Mars was essentially airless to that system.) The rocket engines were above, cut away, and flew away so there was no need to unbolt the engines from the rover.