There's nothing wrong with implementing the tool in Scheme, but the problem is that typical ML frameworks implemented in Python use Python as their "glue" language (which already can be somewhat problematic performance wise). This approach is using a text serialization and sh as the glue language.
Sure, it's conceptually neat, but for exploration, it's not even competitive with regular Python, let alone e.g. Python in a Jupyter notebook.
I could see an approach using scheme itself as the exploratory glue language being quite competitive. Dropping down into shell pipelines is decidedly worse.