Or is it something that isn't that big a deal?
That's my take... The cover is not the "strength" part of a double-braid line; it's mainly used to protect the core, make it easy to grip, and help the line hold well on winches. If your sheets are getting fuzzy it's OK until the cover begins to fray and show the core. If you have purchased new sheets you can keep the old ones for emergency spares (which means you have not wasted your money on new sheets).