For the first time in human history, we are going to "touch the sun".
The probe's mission will take it within 4 million miles of the sun, a region of space never before visited by a human-made spacecraft. For comparison's sake, the closest that Mercury ever gets to the sun is approximately 29 million miles. Getting that close to what is, essentially, a giant ball of fire requires some significant enhancements.
That's where the Thermal Protection System comes in.