I sleeve everything except where sleeves negatively affect the game.
Example, Tiny Epic Quest, I decided not to sleeve the map cards since that would interfere with the map connecting together. Also, these cards see little use and aren't drawn from a deck or shuffled.
Do cards feel better without sleeves? Yeah, I'll give the edge to sleeveless, but people like to fiddle with cards. They fiddle and poke and scrape and tap, and god, they will bend, especially if you play with young people or non gamers.
There's also this urge people have to treat cards in a game like they would a dollar store deck of poker cards. They just can't resist. It's easier to just sleeve the card. Then you don't have to worry about it, and the thickness encourages people to handle cards with more care somehow. More like they're handling something solid and less like a flimsy piece of grass to flap around for fun.