On your traditional hotends with a screw in heatbreak there is a lot of air space between the grooves. This air gap acts as a thermal barrier preventing heat from transferring efficiently from the heatbreak to the heatsink.
Here was a quick... 3 hours of tests... test to show the difference.
No thermal paste- 46C
Slice Boron Nitride Paste - 38C
Traditional silver paste - 40C
In the end always use protection and put paste on your heatbreaks. Also no I won’t chat about what hotend that is cause it’s super secret. ;)