I’m a new collector. I decided to buy the Stranger Things set as a possible investment piece. I assumed the box would come sealed in plastic but it didn’t. Is this normal?
LEGO sets ship in sturdy cardboard boxes. The LEGO bricks inside the box are sealed in plastic bags (though some larger pieces come loose in the box) and for larger sets the instruction manual and sticker sheet are also sealed in a plastic bag.
The LEGO box itself is not covered in plastic. LEGO uses “seals” to prevent tampering - these are basically just pieces of adhesive tape with some printing on it - a black bar plus on at least one of the pieces of tape is a production code.
Some smaller sets come with push-tabs instead of tape seals ... this forces you to destroy the box to get at the set inside. These boxes will have the production code embossed or printed on the underside of the box.
There are collectors who plastic-wrap their sets upon receipt to keep them mint, but this is not a common practice. You can also engage a grading service to get sets graded, but the market for sealed graded sets is very small.
Note that no matter how good the seals look on a set (even push-tabs), there are entrepreneurial individuals who manage to open and reseal boxes to take out the most valuable contents without you as a buyer knowing. Be aware.
In addition to the other answers which highlight the lack of any external plastic covering and the use of seals or glue to indicate the product's unopened state, the products bought directly from LEGO are shipped in plain brown cardboard boxes along with plastic air cushions to protect them during shipping, like demonstrated in this video for example. Other retailers might, on the other hand, just slap a shipping label directly onto the printed box of the set.
The boxes for usual LEGO sets are not packaged in plastic wraping. It looks like you consider plastic to be the packaging, while the box itself is the packaging, since LEGO bricks inside is the actual product and not the box.
Considering environmental issues extra plastic wraping would be wastefull since (I assume) 99% of all sets are being opened.
The best you can get away with keeping your box in best shape is to order single set directly from LEGO online. Largest sets may come in dedicated made-to-fit cardboard boxes. However this not always a case (sometimes cardboxes designed to fit 2-3 same sets).