Io is Jupiter's only moon with a considerable atmosphere. Its atmosphere is extremely thin (up to 40 nbar) which obviously is too thin to use a parachute. However a spacecraft would maybe need a heat shield for entering Io's atmosphere. Could a spacecraft that wants to land on Io decelerate enough before it reaches the atmosphere so that it doesn't need a heat shield or is that difficult? On Earth, atmosphere-entering spacecraft begin to glow/burn at an altitude of about 400,000 feet or 120 km. That is within Io's surface air pressure.
No, I don't think so. As you say, the pressure is highest in Io's volcanic plumes at 40 nanobar (4 millipa) at most. That's equivalent to the pressure about 115 km (72 mi) above the Earth's sea level. At 120 km / 75 mi the atmospheric drag becomes more significant but it doesn't cause a re-entering craft to glow, so you're wrong unless the craft is going at very high interstellar speeds. Thus, if one assumes the craft is in an orbit either around Io or Jupiter, it won't need a heat shield when flying through the atmosphere of Io and it would need to slow down enough by rocket power in order to land softly. Parachutes can't help the craft either, the atmosphere is too thin.
Also, you won't want to land the spacecraft above a volcanic plume I guess, but at a safe distance from a volcano, and there the pressure gets to 3 nanobar at most and in daytime only (on the night side and in Jupiter's shadow the atmosphere collapses to the ground). A day on Io is about 42.5 hrs or about 1.77 Earth days long.
All in all, there's no way you can use Io's atmosphere for aerobraking to land and no need for a heat shield. The only moon you must use a heat shield on is Saturn's moon Titan. You might want to use a heat shield on Neptune's moon Triton too, but that's unnecessary and unsafe if you wanna land since you can (and would have to) slow down enough to land on Triton without a heat shield. You'd need a heat shield for Triton's atmosphere only if you wanna fly through it at orbital and interplanetary speeds for some reason.
You might want to use heat protection for a probe entering a volcano on Io of course, but that's a different story.