Are you sure that is alarm wiring? I don't think I have ever seen thhn used for alarm systems, normally some multi conductor cable. I am pretty sure you need to have mechanical protection whenever any cable enters a splice box, at a minimum it is good workmanship.
#160274 - 09/14/0508:55 PMRe: Do Alarm Wires Need Connectors?
I'd put a bushing on just to keep the wires from getting too close to a grounded metal box. THHN wire is often used in FA applications in the Golden state,CA, and sometimes a a nick in the jacket will lead to ground faults,very frustrating to chase down. preevnt the problem before it becomes one.