A thick piece of full housing could allow the cable to pop to the side if the lever is downshifted when the chain isn't moving, as the cable housing strands will be working against the curve of the cable.

Granted, the cable popping off one of the grooves is a possibility even with the thin lining - but it's less likely to go wrong, looks neater, and is easier to set with hot glue in a discreet manner.

-Kurt