Maybe this is just a silly comment, but it is too long to be a comment itself.
@GiorgioP 's answer explains why the "$\sin$" has to be in your expression, but is still interesting to notice that sometimes it can be "hidden" in the integrand:
$$\int_0^\pi \int_0^{2 \pi} \int_0^{2 \pi} f(\theta, \phi, \chi) \mathrm{d} \theta \mathrm{d} \phi \mathrm{d} \chi=\int_0^\pi \int_0^{2 \pi} \int_0^{2 \pi} f'(\theta, \phi, \chi) \sin \theta \mathrm{d} \theta \mathrm{d} \phi \mathrm{d} \chi.$$
Where $f$ and $f'$ are different functions. This might not be as trivial as one would think. A nice example is the problem of computing the canonical ensemble of the diatomic molecule in the classical approximation.
Let the Hamiltonian of one diatomic molecule in cartesian coordinates be $H(\vec{r_1},\vec{r_2},\vec{p_2},\vec{p_2})=\frac{\vec{p_2}^2+\vec{p_1}^2}{2m}+V(|\vec{r_1}-\vec{r_2}|)$. If one compute the partition function:
$$\mathcal{Z}\propto \int d\vec{p_1} \, d\vec{p_2}\int d\vec{r_1} \, d\vec{r_2}e^{-\beta H(\vec{r_1},\vec{r_2},\vec{p_2},\vec{p_2})}\propto \int dr \, d\theta \, d\phi \, r^2 \sin(\theta)e^{-\beta V(r)}. $$
Where I introduced the Jacobian of the change of coordinates to express the problem in spherical coordinates.
One can also face the problem by expressing the Hamiltonian in the coordinates of the center of mass directly, having $H(\vec{r}_{CM},r,\phi,\theta,\vec{p}_{CM},p_r,p_\phi,p\theta)=\frac{\vec{p}_{CM}^2}{2m}+V(r)+\frac{1}{2m}(p_r^2+\frac{p_\theta}{r^2}+\frac{p_\phi}{r^2\sin(\theta)}).$ Then, the partition function reads:
$$\mathcal{Z}\propto \int d\vec{p}_{CM} \, dp_r\, dp_\phi \, dp_\theta \int d\vec{r}_{CM} \, dr \, d\phi\, d\theta \, e^{-\beta H(\vec{r}_{CM},r,\phi,\theta,\vec{p}_{CM},p_r,p_\phi,p\theta)} $$.
So I am integrating now on spherical coordinates without the Jacobian of the transformation! Obviously, this is just an apparent contradiction, both integrals give the same result, but the "$\sin$" is "hidden" in the exponential in the second case.