दोपहर को isn't wrong; it's just used less often than दोपहर में. The reason दोपहर usually takes में and शाम, को may not be more than idiomatic and here's my guess: "afternoon" is a span of time, and hence events happen in that span of time, while "evening" is perceived as a relatively shorter period of time—perhaps short enough to be seen as a point of time—and hence events happen at that time.