Mainly because it's a complex multi-step plan with so many potential failure points, which would already be impressive if executed on Earth but even moreso being executed on a distant planet where the conditions are different enough that it can't be fully tested in advance, and yet despite that the whole scheme worked flawlessly.
But if I had to name a specific part, I'd pick the control system. The skycrane is dangling a heavy rover from a pendulum controlled by rockets. It's unstable in every axis and has tight performance requirements to let the rover down softly and not kick up dust. Just very impressive.
My understanding was the 20m tether length was designed to avoid dust. More interesting to me were the choice of nylon vs. other polymers, the equal-release multi-line spool design and the choice of cutting the lines on the rover (permanent mission-long mass penalty) vs. skycrane (which is discarded).