The factory used thick insulation because the under-dash temperatures can be VERY different from that in the cabin – if you use a piece of non-insulated tubing, the sensor will sometimes pick up the under-dash temperatures if the car is parked for a short time. This can lead to some pretty strange symptoms in extreme weather.
For example, when it is hot out and you use the AC for a good while, the temperature underneath / inside the dash can become pretty cold. Park the car for 5-10 minutes under these circumstances and the cool temperature will soak through a non-insulated tube and reach the sensor. When you go back to start the car, it will sense a very cold condition and blow hot air at you for a minute or two until the sensor warms back up. NOT a fun thing in 90-100 degree weather. Ask how I know this…