I bought a couple sets over the years and honestly don't think they all came shrink wrapped. I can't remember 100%, but I vaguely recall when receiving I was surprised there was no shrink wrap.
I bought brand new from one of the good retailers, either Seyberts or JoeRackEm, I forget now... An Aramith Super Pro Value set maybe around 2008 (came with the Rempe ball and the ball polish cream and cloth), and a Duramith Tournament Set (about 10-15 years ago when they first came out, and the CB was not spotted, it only had one logo on it, before the spotted CB TV set came out).