Is there any code reference for when and when not a wall penetration should be sleeved regardless if it is fire rated or not.
if you can get a copy of the IBC (I only have '06) it's section 712.
If it's not part of a fire resistance rated assembly, then yes you have to sleeve it. I do not have a link, but if you can get a copy of the IBC (I only have '06) it's section 712.
If you penetrate a wall in such a manner that the cables will not be damaged by the penetration (300.4 NEC) and does not penetrate a fire or smoke protection feature (Chapter 7 IBC) then you should be ok without a sleeve.