You might notice a marginal improvement by getting something like TG Kryonaut, though nothing major.
Guru3D has tested both Kryonaut and be quiet's DC1 TIM (which I'm assuming is what they include with their coolers), and in their testing, the reported CPU temperature dropped by 2.5C by going with Kryonaut from DC1:
So... I wouldn't say it's really worth it. In general, differences between good TIMs aren't really that notable, and you're very unlikely to actually notice a difference in the real world. Though having some spare thermal paste around could come in handy if you need to repaste some other component down the line.
Conductonaut does show a more meaningful improvement in temperature, but if you ask me, it's not worth the hassle of having to deal with liquid metal.
Those temperatures could be worse, to be fair. The 5800X is quite a warm running chip, and the Shadow Rock TF2 isn't exactly a cooling powerhouse per se.
Are you getting these temps with undervolting, or at stock?