Funny but Shimano doesn't mention anything about the plastic sleeve in the instructions, guess it is already around the spindle in the package. So the only place to apply grease then would be to the inner shell of the BB.

When my LBS installed my Hollowtech II for me they chose not to include the spacers and so crushed the plastic sleeve when tightening everything together. I immediately knew something was wrong because the cranks would not spin freely. Smoothed out the sleeve, reinstalled everything myself with the spacers, cranks were fine. But after only a little over 5000 miles, some contamination must have infiltrated, despite the plastic sleeve, because my cranks are now clicking. Fortunately a new Deore BB was only $20, when it gets here I'll look to see if the instructions are any more specific.