while it may seem similar in principle, it is very different at the detail level - radiation even while it is done from several directions still seriously hits a lot of healthy tissue (even proton "knife"). And i think the radiation burn (at the level of several Sv per session deposited at the tumor site) while is definitely deadly for the cells isn't exactly the thermal burn, with cells dying differently and thus different by-products, etc. With the local IR burning by the probe you can also suck the "ash" out right away saving the body from the burden of dealing with the massively dying cells' by-products.

Do we even have the technology? I know there are angioplasty lasers capable of vaporizing plague, but what you are referring to are tumors.

Even if we did, I imagine that there might be some health repercussion when burning such a large tissue mass, which is why we opt to surgically remove them.