Typically you put either thermal paste or a pad between the device and the sink. Most TO-220 devices, the tab is tied to one of the pins of the device; sometimes it's not, but those devices tend to be rated for much lower power dissipation. On regulators, the tab is typically tied to the COM pin. On transistors, the tab is typically tied to the collector or drain. If you use grease or a metal mounting screw, the device tab will be tied to the sink. This can cause clearance concerns. It's less of an issue with regulators, since having an area of COM around the regulator isn't likely to cause a clearance issue. But if your transistor tab is at 1200V, now you have a big heat sink also at 1200V. And if the device is switching, the heat sink acts as an antenna broadcasting that switching signal, potentially causing further issues.
Thus the film, which is insulative. However, I wouldn't bet too much on that insulation, since there's a metal screw in contact with both the tab and the sink! You might get by with a few volts, but if you actually need repeatable guaranteed voltage insulation, use a nylon screw or a shoulder washer, as shown here.