Copper or nickle plated lead shot, or bismuth are fine and no sleeve needed. Purdey's (Bond Street?) even says bismuth is fine in it's antique SXS shotguns. Saw that published back in the 80's or 90's.
Steel, iron or tungsten shot - needs a sleeve of some sort to protect the tube from scratching - (this is recommended - I have no personal experience shooting those types of shot) I would personally not use ANY of those in a muzzleloading gun.