Take a piece of ordinary glass (not pyrex) and heat it up to high temperature. Then throw it into cold water. What happens? It breaks. Thermal gradients are bad. There are some heat shield concepts that looked great on paper but had problems due to thermal shock.

Also, single use heat shields stay cool through ablation and pyrolysis. What's that? Take a silica foam and soak it with resin. Now put it in front of your spacecraft. During atmospheric entry, the resin near the outer wall of the heat shield heats up until it decomposes into gas. The gas jets out through the silica foam's pores blowing away the hot air from the foam's outer surface thus forming a thermal boundary layer. So long as there is unburnt "virgin" resin in the silica foam, the temperature of the heat shield at the pyrolysis interface will not exceed the decomposition temperature of resin. This concept is like the old camp fire trick of boiling water in a paper cup (water's boiling temperature is less than the ignition temperature of paper). Rotating an ablating heat shield in and out of a super heated shock layer would actually degrade performance due to diminished ablative blowing and worsened thermal shock thus causing material spalation.

Gary