My guess as to why they picked pin 6 for the shield connection is that it would be twisted with the wire on pin 3, which is a ground.
That would give you isolation, but maximize capacitive coupling to circuit ground. This helps shunting common mode AC currents to chassis ground, reducing emissions.
Using a proper shield as you described would be better, but CAN is fairly robust and, being differential, usually isn't too bad as far as emissions is concerned, assuming you use some common mode suppression on the nodes.