Heatshrink is an insulation that you use when wires are cut and exposed, and made its way as a strain relief as you noted. It's used on a y-split for convenience. You wouldn't ordinarily use it for the entire run, as it's unnecessary, and adds to the stiffness (=bad) of the cable. It's main use for me is to protect the exit of wire from the termination or plug, so that movement doesn't cut through the wire's sheath.
Techflex is primarily cosmetic, although does add to the strength of the cable if it's in a rough environment or being handles a lot. But mainly cosmetic. Techflex is mostly transparent since when it's applied, the weave opens up a bit to reveal the colour of the underlying cable. You can get higher density Techflex but it's stiffer, and you can get nylon multifilament which is soft with no see-through (but doesn't expand like Techflex does).
One shortcoming of Techflex is that it's not laterally flexible (i.e. you can't twist it), so if you have a single RCA cable for example, it's not an issue as it can twist on the jack. But if you're making a cable with a directional plug on it (like an iPod dock plug) then don't use techflex.
