Your question sent me on a little research trek, because it's an interesting one. My first guess would've been weight, but I think the ESA rover might be even heavier: a metric tonne versus Curiosity's English ton. Still, that was the reason given in one of the better articles I could find, from space.com (https://www.space.com/16889-mars-rover-curiosity-sky-crane-landing.html). Yet when I think about it, the issue of weight with a parachute should be solved by simple scaling. (BTW, the space.com article describes Curiosity as using a "huge" parachute at first, but I couldn't find the exact size lazily).

The most compelling reason I can see for the sky crane design was that the powered carrier deposited the rover on the surface then flew some distance away before crash-landing. Minimizing contamination of the landing site with rocket exhaust byproducts makes a lot of sense. Second, it was observed that a rover atop a landing platform with legs is top-heavy and unstable. It worked for smaller craft like Pathfinder, Spirit, and Opportunity, but these are the big leagues now (these craft are approaching the scale of the craft required to land humans on Mars).

Why not air-bags? Well, I think weight is one answer, again. And personally, I think the idea carries a lot of risk, with the possibility of popping a bag and destabilizing the beachball as it rolls across Mars, plus the greater shocks transmitted to the rover compared to a deliberate soft landing.

To me, the big drawback of parachutes is the difficulty of steering them. We now have technology to design landing systems that can look at the ground and pick the best spot in range. They can not only avoid catastrophe, they can pick the best site, something that's important if the lander is a rover that has to move away from the landing site. No good coming to a perfect landing inside a crater with impassable walls. The ESA lander can work with that, since its mission is to drill and I'm pretty sure it isn't intended to rove to another site first.

Interesting.