Ground is the repository for noise. Ground circuit in audio gear is eventually connected to earth which supposedly has infinite ability to absorb electrical noise and provides a relatively quiet reference voltage.
Shield's purpose is to catch RF noise before it gets to the signal conductor. Normally you want the noise caught by the shield to go down the preamp's ground hole, not the amp's, to keep it one step further away from speakers. So you connect the shield to the preamp ground via the preamp's output jack.
But... there's always a but... Preamps which handle the lowest level signals in the system usually have the best designed grounding circuits, but not every preamp designer is a master in the nuances of grounding, so it's possible that your amp's grounding design may be much better than the preamp's ground, and the cable may sound better with shield connected to amp's input jack. Like everything in high-end audio the dogma doesn't always deliver, so you have to try it both ways. Likely you won't hear a difference either way, and that's good! There's rarely any significant noise in residential setting so hopefully it won't matter anyway.
