If a rover on Mercury "roves" only at night when the surface is freezing cold, and before dawn unfolds a Sun shield of a few square meters above itself, under which it stays put all day. Would the surface under the shield still get hot by horizontal thermal conductivity in the surface materials?
As Hobbes pointed out, the ground under the rover will eventually warm up. Any thermal barrier only slows down the heat transfer. It would eventually cook from below.
The only thing that I can think of would be to put the rover up on stilts and have heat shields both above and below with radiators pointing outward between the two shields. The radiators are to dissipate the heat coming up the stilts and the heat absorbed by the heat shields.
Aside from the mechanical issue of lifting the rover a few meters off the ground every "day," the rover would have to cart all of that around. I just don't see that happening.
If we need a ground mission, I think we will need to drop the rover after "dusk" as soon as the ground is cool enough, run it away from the sun as much as you can and then play taps in a month when it gets cooked.