There are 2 big benefits to working with Parquet files in DuckDB, and both relate to speed!
DuckDB can query parquet right where it sits, so there is no need to insert it into the db first. This is typically much faster. Also, DuckDB's engine is columnar (SQLite is row based), so it can do faster analytical queries using that format. I have seen 20-100x speed improvements over SQLite in analytical workloads.
Happy to answer any questions!