The grey rubber in question *IS* actually a thermal interface.It's called "Sarcon TM".
The reason they use this instead of thermal paste , is to compensate for misalignment issues between the northbridge and southbridge (they use the same heatsink)..There is no way to guarantee that the NB and SB will be 'flat' in reference to each other , during the manufacturing process , so the sarcon fills the gaps.
If you are still using the stock NB/SB heatsink , I would pay very close attention to how well the heatsink mates to both chips.....Make sure it's sitting flat on both chips and not rocking etc....