Heatshrink is great if you're making cables but you would need a really high shrinkage ratio to fit over the connector and then shrink enough, the common cheap stuff is usually 2:1, maybe 3:1.

You could cut the heatshrink tube, wrap it around the cable and then secure it with transparent tape. It would slide around but at least it wouldn't leave residue on the cable.

Maybe clip-on cable markers like this? [1] Easy to 3D print if you're so inclined.

[1] https://uk.farnell.com/multicomp-pro/pb-250-sm0c/cable-marke...