These are coaxial cables for each Force and Sense in the High and Low side LCR meter inputs. The center wire is the "active" wire while the shield becomes the BNC case, which for the DE-5000 is ground inside the TL-21.
The coaxial shields are single and not 100% shielding, so external/internal fields leak in/out, and the cable dielectric physical cross section gets changed slightly when bent, so the cable capacitance slightly changes. These contribute to the cable position, orientation & environment sensitivity, especially with low cap measurements. These are things we've known and dealt with since grad school well over 1/2 century ago when working with early Network Analyzer type measurements.
Tonghui makes some of the better LCR meters, cables and fixtures, so what you are seeing is better than some of the cheap type Kelvin clips (alto some can be pretty good, however some are not so and have really thin stingy shielding to help with flexibility, you don't know this until your measurements suffer). You can get Kelvin clips that go directly to the LCR meter with BNCs, or ones that have an extension box. This is likely because the extension box type Kelvin Clips (like you have) reduces the Kelvin cable length to the DUT before it gets combined within a much thicker and stiff cable with additional shielding going to the LCR meter. This allows finer more flexible cables to the Kelvin clips from the expansion box.
One of things we've mentioned and recommended from Hioki is to use a shielding plate below the measurements with Kelvin Clips. Connect this conducting shield plate to the Guard on the LCR meter. The works by controlling the localized fields around the DUT and Kelvin clips, improving measurement repeatability.
Another useful note is to make the Kelvin Clip Open calibration with the Kelvin Clips and cables in a similar fashion to the subsequent DUT measurement. While on LCR measurement notes, Zero Calibration with Kelvin Clips is best done with the Kelvin Clip in a Hc-Lc-Hp-Lp fashion, these notes help with High Z and Low Z DUT measurements respectively. You can find more details on both discussed here on EEVblog.
BTW are you contemplating a lab grade bench LCR meter?
Anyway, all this becomes a trade off between each of use and performance.
Best