It only matters to the extent that your mains is noisier than the mains-to-EUT isolation of your LISN filter.
I don't see any reason shielding would be undesirable. A shield changes the HF response of the transformer (namely, it lowers the winding impedance somewhat), but that's a complex circuit regardless, and the common mode response (presumably) will be much better with.
To clarify: consider each winding is a bunch of wire on top of wires, in other words, transmission lines. So there is some high frequency impedance characteristic of the winding. Obviously enough, this is well damped when matched, so put a resistor across it. But a resistor would waste mains power, so put an R+C across it. Or don't even bother, because your LISN is a couple big inductors anyway. Which, to be clear, doesn't isolate the winding, because the inductor(s) are just more wires on top of wires -- both should be damped.
I personally wouldn't worry about it, and just get whichever is cheaper. If the mains is measurably noisy already (you can test the LISN without an isolation transformer, just be careful), consider getting a shielded one, or adding a line filter. That's about it.
Tim