In answer to your question, yes, shielding is effective when floating. It might be more effective when grounded to your circuit ground, but it still is effective even if floating.
First, I work with a handheld wireless device for my job, and if I bring a piece of metal close to the antenna, it definitely changes the signal coming off the antenna.
Second, we have a shield room / anachoic chamber, and if you go in there, and close the door, your cell phone loses all communication with the outside, ie no 3g, no wifi, no bluetooth unless it's within the chamber. It is not grounded to your phone, but it certainly works well.
Third, when we were getting one of our products tested for FCC certification, it failed because a microcontroller (ATTINY44 to be precise) in a QFN package was radiating too much noise (RF). So I took a piece of copper tape, cut it to a square just smaller than the package, and stuck it to the top of the microcontroller. It was not grounded, in fact it was not connected to anything, just stuck to the plastic case, and it reduced the emissions enough to bring the product into compliance.
With regards to your other question, why is grounding the shield useless if the signal is not grounded. It's been answered, but I'll try to state it a different way. Connecting the shield to any potential that is not referenced to the signal of interest in some way (ie the ground of your circuit of interest), is like not connecting it to anything. You could connect the shield to earth ground, or to a computer's ground, or to a cow. There's stil no connection to your circuit, and thus it doesn't change how the shield behaves with regards to your circuit.
Hope that clears things up.
- Erik