It is an insulator so that current does NOT flow through the mechanical link. The mechanical link is not designed to handle high current flows, and may fail if subjected to high current flows.
In a fault condition, you do NOT want to have your mechanical supports fail because they have high current flowing through them.
In non-fault conditions you still don't want to have current flowing through your mechanical supports: they would find an equilibrium where the small fraction of the current flowing through the steel would keep it hot enough to not conduct more current. The hot steel would be susceptible to corrosion, and the threaded connectors would be susceptible to creep.
Note that the voltage is irrelevent for this mechanical support. The insulator is there because, even at 3KV, trains take a lot of current out of the supply. You can get the same problems with Low Voltage (48V) supply systems.
If you do the mechanical part of your job right, then there's no way that anything can be flopping around inside your box, just inviting disaster.
Here are a couple of examples of equipment laid out properly:
Notice how everything is laid out neatly, as if it were planned, and harnessed and secured properly in order to completely eliminate the possibility of an inadvertent mis-connection/short in the box.
Also, in the topmost photo, notice the use of crimp terminals and a Jones-type barrier strip secured to the chassis in order to make connections to a cable leading to the outside world, and a terminal board used to secure - and provide connections to - the resistor array.
This method of construction can be used universally where wiring by hand is required, will yield very reliable equipment, and eliminates the need for hot glue. ;)
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talking from my experience with thermal shrinking tubes id thermal shrinking tape tends to be less shiny than the common one