Do I need a sleeve for through the wall air conditioner in new construction?
Ultimately, you'll want to consult the manufacturers installation instructions.  You may find that some units don't have a case, and rely on the sleeve to protect/cover their internal bits and bobs.  

Whether or not the unit has a case, installing a sleeve is usually a good idea.  The sleeve allows you to insure the opening is sealed properly, before installing the unit.  It also allows you to remove old units and install new units, without worrying about sealing the opening.