You did a good job showcasing the knife and case; there was definitely NO sheath. Cold Steel probably ditched the sheath cause they expect you to just throw it in a kitchen drawer or stick it in a butchers block .. their current direction is kinda on the cheap side, in my opinion. But that particular model still looks like a pretty solid knife for kitchen duty!
It's high carbon stainless steel and none of their kitchen knives come with a sheath because the are kitchen knives, not carry knives. TPR is thermoplastic resin and has a "rubbery" feel. Most kitchen blades do not come with a sheath or blade cover, even the high end ones.