The thing that impresses me even more is the kinds of cameras they mount on the rocket. How do they shield it from all the heat and debris with a material that's optically clear?
Sapphire windows are good, yes. Want to minimize delta_T across window body (and therefor stress), other materials are better for that. Cameras are sealed to the skin to prevent against any crossflow and enclosures tend to have various thermal insulations (e.g., ablatives).