They did, if you mean the plastic protectors.
No, the end caps are stuck onto the end of the optical fibre, but they can become detached (see link). The plastic protectors are intended to help prevent the end caps (if they are present) becoming dirty, scratched, detached etc.
Erm, no, the old cable probably was, i've wiped the lens at both ends with a cloth (not sure what the proper way to do it is, i'll try alcohol too) and it does seem to sound better now.
Alcohol is probably the best that you can realistically do, apart from grinding with presumably a very fine grit paper (plus a microscope to view the condition of the end cap)
The cheap one is 3m long and the new one is 2m long.
Not excessively long - I have used a 10m long kabeldirect cable without any issues, but the best practice is always to avoid coiling the cable if possible.
The cheap one is secure but it doesn't take much for it to fall out, especially in the m-scaler i could never get it to click in, it just kind of hung in place and would fall if touched.
Doesn't sound right, because to be fully secure, you should hear a click. May be the root cause of much of your dissatisfaction with the cheap cable.
The qed one locks in place very firmly.
Overall i still think the qed one sounds a bit clearer ,but the delta is smaller now.
Not surprising that the QED sounds better
I use kabeldirect cables, but I have often thought about trying Lifatec cable (which is an Optical cable used in the medical and audio industry) https://www.lifatec.de/en/products.php