First of all, sonically, a single-ended cable with no shield is best. Shielding adds a capacitive element to the cable, a property we generally want to minimize (possible) if not eliminate (impossible).
However, there is no "rule" when it comes to dealing with EMI. Your particular system will have unique issues and unique demands that requires unique solutions. Move your system across the room and the unique circumstances will change, probably. So you must determine what you need, and how to implement it, with regard to EMI interference or EMI-related noise.
I generally build single-ended Shielded type DIY interconnects with a shield connected at one end and floating at the other.
Although the oft-repeated advice is to connect the shielded end at the output and the unterminated shield end at the input with all the components in a chain, there is a different approach that you may wish to try; that is to designate some component (typically the preamp or control unit) as the "Home" device, and have the shielded end connect to that component going both ways.
For example, two single-ended cables used as follows:
Photo Preamp [unterminated] to Line Preamp [terminated] >> Line Preamp [terminated] to Power Amp [unterminated]
Of course, finally, there is the fully shielded cable that carries the shield from one chassis to the other (shield connected at both ends). Sonically this is usually the least desirable but may be necessary in your configuration. Naturally, it does not matter which end is connected where, as they both carry the same signal and shield.
Please note that environmental issues can form part of the problem. An environmental corrosion or coating at the connector will change the effective length, which will change the frequency of any Radio Frequency Interference (RFI) experienced by the system*. So physical location, environment, and maintenance plays a role.
I disagree somewhat that the choice comes down to "personal preference". There is an ideal configuration and there are configurations that are intended to deal with a specific problem. If there is a problem with EMI then there are solutions to employ. If there is no problem with EMI then you should be using fully unshielded cabling throughout.
The "preference" comes down to preferring a dead silent system versus one with some EMI-based noise issue. If you prefer the latter, you aren't an audiophile; you "prefer" to simply not care.
* A cable of length "N" acts as an antenna for any frequency with a bandwidth of (N x [any whole number]) or (1/[any whole number] times N).
