True enough, but it's going an awful lot faster since it's aimed for orbital trajectory to inject the 2nd stage. So, it has tremendous horizontal velocity. Shepard, by comparison, just goes straight up (vertical only), so it's total velocity is far lower.

Falcon is in a totally different class of difficulty and complexity. I mean, the grid fins caught on fire and began to melt. That gives you a good idea of what sort of forces are involved in the descent.

Stage I is capable of reaching orbit with a small payload, adding stage 2 dramatically increases how much mass you get to orbit. However, stage I is expencive enough they are not going to waste one without an upper stage.