Myelin and Myelin Sheath
As Wikipedia points out:


  Myelin is a lipid-rich (fatty) substance formed in the central nervous system (CNS) by glial cells called oligodendrocytes, and in the peripheral nervous system (PNS) by Schwann cells.


When referring to the sheath, you are referring to the covering which is made of myelin.


  Myelin sheaths are sleeves of fatty tissue that protect your nerve cells from damage (WebMD).


The thing is that myelin formed in the CNS and PNS is only used in the form of a sheath  to protect your nerve cells, so when physicians refer to the myelin, they are referring to the sheath.

With demyelination, the integrity of the sheath is being compromised.