Byronyk

Heat gun would definitely be a bad idea since the sleeving is melted onto the cable and will unravel. I don't think there are any mods that can be done beyond requesting ensourced to have different lengths for the inside and outside cables on the PCIe connector, this will apply some natural tension for the cable to curve and will probably aid in achieving tighter turns. I don't know whether they do this, and you will have to know for your GPU whether the clip-side or non-clip side of the PCIe connector the longer cables need to be on. Since they are a boutique sleeving service, I would imagine if you message them and explain your situation, they will try to accommodate your request.
 
Not using 15/16 AWG is another option, but the cables would look pretty thin and flimsy which defeats the point of custom cables, I guess

I believe they are quite high quality, and therefore likely to be quite stiff (cheap custom cables are very flimsy, flexible, and don't hold shape). I sleeve my own cables so have not dealt with them personally. The photos I have bellow are 1080Ti Strixes, but I believe the layout around the power is similar. Peeled back to the max, the normal PSU cables only protrude out a little bit (left in first photo, right in second). I also tried to make some connectors with very low profile connectors (right, barely visible in first photo, silver cabled on second), but I can't recommend pushing these to the limit since the actual internal connector can snap.
 
So I guess my personal take home for you would be: get the custom cables and try your best to bend them back, but otherwise sleep easy knowing the standard PSU cables (basically any unsleeved cable) will probably to fine as a worst case scenario.
 

I ended up not needing them  

I do believe so. I have a 1080ti FTW3 fitting in my Corsair 380T and the connectors are pushing right up against the plexi. I was aware this might not fit so I did some research just in case and they make low profile PCI-E connectors Like these: https://www.moddiy.com/products/PCIE-90-Degree-Angle-L-Shape-Low-Profile-Connector-Extension-Cable.html
 

I believe you may be okay since the Strix cards have a recessed power plug. With my standard sized pcie power connectors, the plastic part is entirely within the footprint of the PCB. Here are some pics of typical pcie power cables "bent back". I think only if you have very thick and stiff custom cables will you run into serious issues.
 
From Left to right: Standard Corsair PSU Cable, Unsleeved 15 AWG cable, Custom sleeved 15 AWG cable.