Even if Mars's atmosphere only kills 90% of your orbital velocity instead of the 99% you'd get on Earth[1] you're still saving a humongous amount of fuel, far more than the mass of the heat shield you have to carry along. If you're designing a new heat shield for each mission then the added complexity might make that not worth while but SpaceX is reusing the same heat shield design they've been testing on Earth so that isn't a concern.

[1] numbers vague guesses