Then again, if we constraint the problem, then there will be right and wrong answers. I.e., let's not overgeneralize the OP's problem.
Am I correct that these apply for the OP's case:
* Single ended digital communication, referenced against internal GND node at both ends;
* Both ends are either unearthed, or tie internal GND to the earth solidly, like personal computers for example
(Internal GND means the reference level against which the TX/RX signals are referenced to decide their state. I.e., the transceiver's GND pin.)
Under these constraints, I think that my advice "both ends of shields connected to said internal GND" is the correct one. There will be a ground loop of course, then what? Ground loop will be there anyway - you need that ground to communicate at all. What is the other option, route the ground from some long parasitic route? The shield in parallel with any other ground wire (yet undiscussed) yields minimum possible impedance for that net, and therefore lowest possible voltage from ground loop currents.