What do you want to use these for?
- interconnects
- signal path wiring within a component
(1) For interconnects I believe the general rule of thumb is don't use shielding unless you find you need it, then only ground one end of the shield (usually at the end where you want the crap to drain to).
(2) I don't know that an ungrounded shield would make much of a problem in practice, but I guess theoretically it could act as an antenna and pick up some stray crap in your environment; but if your environment is clean to begin with then it's probably not a real problem (see #1).
(3) For a signal path inside of a component I think it would always be wise to use a shield if you can. There's a lot of stuff bouncing around inside a component case and isolating the signal path from that noise (most usually on the ground plane) is a good idea.
Enjoy,
Bob