Yes, you're right that the brass housing would radiate heat, just in a slightly poorer way than the adjacent aluminium fins. However, it would still be at cylinder head temperature all the time. I think that the plastic housing would be cheaper than brass. My original plastic housing didn't have any heat conductive paste in it either, but after I broke it, I made sure that the replacement housing had some.
I think that a temperature sensor should be thermally coupled to the part that you want to measure. If the engine does not run well like that, then there is an opportunity to tune the engine so it does run well. Having an air gap seems to add the chance of ambient air (temp and speed) corrupting the sensor output.
I can't see how the brass retains heat. It is thermally coupled to the cylinder head, so is always within a fraction of a degree of the same temp as the head. If you are meaning the sensor is slow to respond to cylinder head temp changes due to the internal air gap, then I agree. I added thermal paste to remove that possibility on my bike, thinking that Luigi was being economical with the thermal paste, just like the lack of lubrication in the steering head bearings.
I am really happy with how my bike starts and runs, with good relays (credit Docc), great electrical function & grounds (credit KiwiRoy), awesome engine performance (credit Meinolf), and nice shifting (credit Chuck, Scud & Lucky Phil).