Metal connector case connection when using a plastic housing
The main reason that an SFP connector needs to connect to the chassis is to provide EMI blocking. That is, the cage around the SFP connector forms part of the overall shield that prevents the circuits behind it from radiating. 

If you believe your design will not cause radiation even with a plastic housing, there is no particular need to connect the SFP cage to the chassis. 

It's probably still a good idea to connect the cage to some circuit ground potential  (possibly through a high-value resistor), just to prevent it from being floating metal, which could cause problems of its own, either in terms of radiation or susceptability.