I think the reason is weight.
It is expensive to put the fuel needed for a powered descent into orbit.
A parachute is light.
Of course the retrieval at sea isn't necessarily cheap.
Also the SpaceX booster doesn't achieve orbital speed. I'm not sure, but doesn't the booster speed come close to zero when the booster reaches max altitude? Does it just keep going up until gravity stops it? Or maybe just slows it way down?
I guess I could google something, but it is easier to just make it up.