Yes, you are correct, it comes with a very flimsy and thin sleeve polyester type material. I bought this and it fits great: https://www.amazon.com/dp/B09482W45X. It's big and red to distinguish it from the other cases I have.
Pretty much any case that fits a 2.5 hard drive should work. Anything bigger than the unit itself (LxWxH 5.31 x 3.15 x 0.59 inches) should work as long as it has a spot for the cable.