The only reason the space shuttle, meteorites, satellites, etc burn when they enter the atmosphere is because when they're traveling through space, there's no wind resistance and no terminal velocity. When they reenter the atmosphere, they're traveling way faster than the terminal velocity at that altitude. The heat is just friction from the air. Since this guy was freefalling from inside the atmosphere, it would be impossible for him to travel fast enough for the friction to become an issue and his terminal velocity changed proportionally to the air density as he fell.
For comparison, a communications satellite needs to travel at about 7000 mph to stay in orbit. This guy was falling at around 720 mph at his fastest