This is standard for many cables used in the audio and production world, and it's a safety thing. Consider that you have a cable plugged into a piece of equipment with a wiring fault that makes the chassis live. You go to plug the other end of that cable into another piece of equipment (perhaps a long distance away, maybe even on a different mains/generator feed), so you take the metal shell in one hand, and put the other hand on that metal rack. If the shell is attached to the shield, you're about to have a bad time. If the shell is isolated from the shield (and the other conductors), then you might be about to buy some new equipment, but that's better than being dead. Well, maybe that depends on who the equipment belongs to and how much it cost, but the important thing is that you haven't been electrocuted!
Once the connector is mated, typically the shell is connected to the chassis of the equipment, and the sorts of signals on the cables where this is typically done aren't high enough in frequency for this to cause a problem, nor are they sensitive enough to outside interference (often being differential, as in balanced audio or RS485, or current loops like MIDI).