No one has tried aerocapture yet
Sooner or later, someone will be willing to try aerocapture. The potential mass savings from aerocapture are enormous, but it's considered more risky than orbital insertion using rocket thrust. You'd have to very carefully control the vehicle's attitude as it entered the atmosphere. Hit the atmosphere at the wrong angle and you could either burn in or skip off.
Aerobraking was first used to change an orbit around Venus. The spacecraft in question wasn't designed for the purpose but they tried it anyway. It worked very well. MGS used aerobraking to lower the orbit following insertion. I think one or two other spacecraft have used it as well.