One of the things that have become apparent is that enthusiast end-users like a processor that has a soldered heat spreader. it helps in cooling matters. As such the Core 9000 series had that, except the Core i5-9400F is seems, it's back to using thermal paste.
This is a little confusing really, as everybody is under the assumption that it's soldered, and now some Coffee Lake Refresh procs continue to rely on thermal paste between CPU die and Heatspreader.
The Intel Core i5-9400F was just released, it's a proc that has no IGP (or at least it is not active). so it's not just lacking that graphics unit, but soldering is also missing. In Asia, some CPUs were beheaded in parallel, ie the heatspreader removed, revealed classic thermal grease, while the Core i5-9600K was soldered.
Core i5-9400F and Core i5-9400 seem to be based on different stepping. P0 stands for the new, U0, for the old stepping, which was already in use for the entire last year. So when you think about it, it may be in the case of recycling of old Coffee Lake CPUs from the previous year, thermal paste included.
It's all a bit confusing really.