I have been wondering this since I was a kid. watching films of capsules and shuttles heating up and all that tile trouble and work that went into all. I would always wonder why they dont slow down before entering the atmosphere.
Capsules do it this way because they are purposefully slowing down by plunging through the atmosphere. This aerobraking is a relatively cheap way to slow down, but has unfortunate thermal effects requiring heatshields.
This is not the only way to re-enter though. Given enough fuel, it's perfectly possible for a ship to burn its engines and slow down to a relative stop in space, and then fall vertically down through the atmosphere. This is essentially how a landing on the moon takes place. However in practice a braking burn to remove all the speed in a low earth orbit requires massive amounts of fuel in orbit, which means even more massive amounts of fuel to lift that fuel into orbit to begin with. The rocket equation hits hard here, and the initial rocket would be ridiculously large and expensive (if even possible at all).
Maybe some day when we are bringing back tons of rocket fuel from asteroids to earth orbit, a ship could use that fuel to slow down, and just parachute down to a gentle landing. We are nowhere near that in practice however. Compared to the fuel requirements, a heat shield is a much simpler and cheaper method.
When you are in orbit round the Earth, you are going at about 8km/sec (about 18,000mph) and when you are arriving from "outside" (the Moon or Mars) you will be falling in at about 11km/sec. When you are sitting on the ground, you are going at 0km/sec. So that is the amount by which you have to change your velocity. The question is: how?
One way is to fire a rocket. This is how you slow down when landing on the Moon (where the orbital velocity is five times slower). Every metre-per-second of velocity change requires a certain amount of fuel. 8,000 metres per second require a lot of fuel. Moreover, all that fuel has to be carried up from the Earth in the first place, so you need more fuel just so you can launch that fuel into space.
Another way of going from 8-11km/sec to 0km/sec is to let the atmosphere slow you down. That uses no fuel at all. But, as you have noticed from the coverage you have watched, all the energy of that high speed turns into heat.
At the beginning of space flight it was not known whether it would be possible to use the atmosphere to slow you down, and still survive without burning up. In the authoritative Interplanetary Flight by Arthur C. Clarke (1960) there is still a lot of doubt about this. In fact, the method we now use - falling directly through the atmosphere - was actually considered impossible. What people were looking at instead was what we now call "aerobraking", dipping briefly into the atmosphere to lose speed and out of it to radiate the resultant heat, but nobody had any idea whether those could work.
To summarise: you have to get rid of between 8 and 11 km/sec. You can't carry the fuel with you to do it by rocket. So you have to use the air, which needs no fuel.
Aerobraking, by the way, turns out not to be very useful, at least for a return to Earth. It depends on spending some time in the atmosphere, slowing down but getting hot, and some time outside the atmosphere, radiating away the heat. Radiation is a very slow way of losing heat.
If you use a heat shield, a fast re-entry is better than a slow one because it is hotter and the burning gases keep the heat away from the craft itself; and also because the heat shield does not have to burn for such a long time.
If you use insulation or "hot construction", then a fast re-entry is better than a slow one because it lasts less long and the heat has less time to penetrate into the craft itself and cook everybody.