Do you need a heat shield to land on Duna?
No, a heat shield is not necessary for landing on Duna. At least not when you go into orbit first. It might be necessary when you do a direct descent from interplanetary transfer speed, but in that case the bigger problem is slowing down fast enough before leaving a crater.
One thing to consider when landing on Duna is that with the new aerodynamics model, parachutes are even less effective than they used to be. They can help, but you should definitely plan a retro-burn before ground contact and/or invest in heavy landing gear.