The sleeve will also add a small amount of distance between the bent wire and the opposite metal end cap of the resistor even after inserting, soldering and handling, the metal end caps are only insulated by the 'paint' coating and are a weak link in the withstand voltage of the device if it sees mains related voltages across the resistor in some situations.
I also support the added dissipation and shrapnel protection scenarios.
Inrush currents (when charging the HV DC link) on a series input resistor may result in significant voltage across the resistor.
Lighting spikes and load dump voltage transients may also exceed the optimistic design limits and the extra little air gap may just prevent a dozen failed units after every thunderstorm.
Having the protection there after the resistor fails (especially if it is a fusible protection components) is doubly important as the insulation breakdown would now form a short circuit across the already toasted resistor and deliver the supply voltage across possibly other failed (short circuit) components with undesirable results.