Insulated connectors when crimped use the deformed the plastic skirt as a strain relief. If the plastic skirt is removed and heatshink is used some strain relief may be provided but the mechanical style is really the way to go.
If uninsulated connectors are deemed preferable then the type with the strain relief clamp (pictured) should be used, then the heatshrink is simply providing electrical insulation as designed.
A different crimper is required as well.
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