Can anyone tell me why these gray sleeves are on this IRFP260n mosfet and this SF3006pt transistor? What is a suitable replacement for one of the since it was stuck on the transistor and the top has some damage to it?
They are thermal insulating pads. They are required to conduct the heat away from the transistor tab and still provide full electrical insulation from the mounting hardware. I have never seen one like that before.
Google thermal transistor insulating pads.
Also Keratherm transistor insulators.
The weird thermal paper stuff is most likely mica insulators. You apply silicone thermal paste on these.
Another option is to choose transistors with the insulated tab option. It is a good idea to check all the different package styles of the same transistor designation. Often times there is an insulated version.