I remember the SMS shrink being very crinkly like a plastic candy wrapper off a Jolly Rancher... It wasn't the smooth feathery type commonly used. The seams were often busted as well since the plastic was harder. Even back when you could find them at retail stores. IIRC, I Never found one without the hang tag free through a hole on top though.
I'm not sure, but I don't think the Sonic and Golden Axe Warrior I bought over the phone from Sega back then were even shrinked when I got them in the mail.