Minute Physics points out that despite the Sun's immense gravity, it's remarkably hard to throw something off of Earth so that it hits the Sun. In fact, it's actually easier, at least in terms of energy, to send a payload elsewhere in the universe than to make it fall into our own Sun.
In brief, if you throw something at the Sun and miss, it will either go into an orbit around the Sun or it will be deflected by the Sun's gravity but keep going beyond the Solar System. To hit the Sun you have to throw it just right. That's hard to do, because anything you launch from the Earth starts out moving with Earth's speed around the Sun, pretty much at right angles to the direction it needs to go to hit the Sun, so you have to somehow cancel that speed and cancel it pretty much exactly. There are ways of doing that, but it requires a lot of rocket fuel or some clever orbital tricks of the sort mentioned in the video.