I can explain why I know that. Two reasons, actually, P48 and noise drainage.
What are the shields there for anyway? The main function is to drain EMF noise away from the signal wires inside. A balanced wiring configuration further rejects noise that makes it past the shield. There is EMF energy everywhere inducing noise into neighboring electronics. Once on the shield, the energy should have a distinct potential, read low impedance, towards which it is drained away from the signals we want, and it gets drained to "ground" or mother earth through the load's chassis. Connecting shields together at one point or multiple points along the path from source to load reduces the "distinct potential" path of noise drain, and the differing noise on the signal lines gets pooled together, to be passed along again on independent shields to the next joining or the load chassis connection, a high gain mic pre in our case.
I liken EMF noise draining in systems to rain draining off a roof. The better the pitch, the better the drain.
Enter condenser microphones are their need for external power, and the development of phantom power, P48. Now the signal shields have a second function as the return/ 0vl/ power ground for P48. You have two energies flowing in opposing directions on a condenser mic line. NOTE: I am speaking from a system design point of view using mainframe console and commercial outboard equipment, where P48 comes from the desk and/or multiple mic pre's in different chassis. Otherwise, P48 could come from local Stewart boxes, or a 8CH DIY P48 box, or no console and only DIY outboard, DAW, and a monitor controller, but the theory is the same. You do not want the P48 signals of different sources sharing their returns. This will induce noise in the mic signals and get amplified in the pre.
The functions of P48 power to one microphone, and the noise draining for that one mic line will be disrupted when you connect the shield together with another microphone signal shield. It will exhibit itself as increased noise floor of hiss and or hum. Scale up to 4, 8, 48 channels connected together and you can have a real mess.
The theoretical perfect studio has individual mic cables connecting the sources, mics, back to the loads, mic pres. A working studio needs more flexibility than that, so we use multipair, patchbays, multiple panels sharing one line, etc. That is all cool as long as the separation of shields is followed.
This also applies to the line level signals, but exceptions are voluminous and application specific.
Mike