OK, I think I see what your saying: once the parachute is "up to speed" in the airflow, there can be no lift?
But, there will be lift if the parachute and rocket are descending through still air at an angle[1]. If so, there could be a small amount of lift generated while the rocket is descending through air that is moving at a different speed to itself?
So, if there are layers of air at different speed, then lift will be generated during the time it takes for the sideways speed to increase to that of the air in each layer of varying speed?
Does that make sense?
[1]