In the assignment
sentence="this is a sentence"
there are no unquoted spaces, so everything to the right of the = is treated as a single word. (Something like sentence=this is a sentence would be parsed as a single assignment sentence=this followed by an attempt to run a program called is.) As a result, the value of sentences is a sequence of 18 characters. It is identical to
sentence=this\ is\ a\ sentence
because again, there are no unquoted spaces.
For the same reason
for word in "this is a sentence"; do
echo $word
done
has word being set to each word in the following sequence, which only contains a single word because there are no unquoted spaces.
The key difference with your other loop is that parameter expansions are subject to word-splitting after the fact. The loop
for word in $sentence; do
echo $word
done
after parameter expansion looks like
for word in this is a sentence; do
echo $word
done
so now word is set to each of the 4 words in the list following the in keyword.
It's not clear what you are actually asking at the end of your question, but the preceding is legal code. There is no requirement that a string be placed in quotes in bash; quotes do not define something as a string value, but simply escape every character that appears within the quotes. "foo" and \f\o\o are the same thing in shell.
for word in this is a sentence; do echo "$word"; done.