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The body of the 'T' connector in your photo looks like a gray threaded PVC pipe coupling that you can pick up at your electrical supply house or building supply store. You can fill with a silicone caulk (or RTV) for the insulation; it doesn't have to be blue. You can find the threaded strain-reliefs at several different electronics suppliers. Look for the stain-reliefs that have standard pipe threads then match your PCV coupling size to them.
The other possibility is Emerson & Cuming Stycast Conductive Epoxy 2850FT.
Stycast 2850 FT is a two component, thermally conductive epoxy encapsulant that can be used with a variety of catalysts. It features a low coefficient of thermal expansion and excellent electrical insulative properties. Designed for encapsulation of components which need heat dissipation and thermal shock properties. Stycast 2860 Blue is recommended for use in high voltage applications where surface arcing or tracking is a concern.