The impressive part is that they do it with an actual rocket that is 106 feet tall, and that they have launched it 7 times with 0 failures.
Using the same engine, rather than treating the engine as a disposable object that only performs one burn in its lifetime. Most rocket engines can't be throttled, can't be shut down and then restarted in flight or otherwise.
The tricky part is going to be for any stage to have enough delta-V to return to the pad after lifting a payload to orbit. Also, as far as I can tell, this takes a drag chute for lower stages, and a re-entry shield for upper ones.
Bruce