Thermal resistance of thermocouple <-> heatsink - very low.
Thermal resistance of thermocouple <-> air - very high. Air flow is also very low.
Comparatively high thermal resistance to air has almost no effect on heat transfer from heatsink to thermocouple. It is like connecting 1Ohm and 1000Ohm resistors in parallel - circuit would not see any significant difference between [1Ohm] and [1Ohm | 1000Ohm] load.
Also, thermal mass of thermocouple is very low, so it would heat up very quickly to almost the same temperature as the metal heatsink.