There is sleeving that is "split", but the kit that you linked seems to be "slip-over".
Although split sleeving is easier to install, imho it does not look as nice and the split can sometimes open up making the sleeving look pretty bad.
The slip-over sleeving expands and can slide over the pins of a cable. If you use a large enough diameter the sleeving will also expand over the connector (molex, 3-pin) but the final results do not look as tidy as the sleeving will be overly-large in comparison to the cable/wire itself.
Generally a professional-looking job will have the connectors removed, the cable sleeved, and the connector replaced.
Heatshrink tubing finishes off the sleeving and can be shrunk using a small butane torch, some hairdryers (that blow hot enough), and even a lighter, but the lighter can be problematic and troublesome imho.