I think it's more of a psychological pacifier, seen it done for extra protection against oxidation. It doesn't always work, if the silicone grease can get washed out.
Some heatshrink needs around 260°C which I think melts the grease and it dribbles out. It's just messy.
I prefer to use thick-walled heatshrink which has hot glue inside. That seals up against water too.
It all depends on what you are sealing against- temperature, pressure, abrasion etc.