Hmm . . . I will say that it should definitely be connected to a "good" earth
With apologies to Eric, I agree with above.
It's a long time since I studied such things, but I kind of thought a Faraday Cage was only effective if it encapsulated the entire system. In the case of DSL, it would need to encapsulate not just the modem cable, but also the router, all of the BT wiring to the exchange, and the DSLAM. That would be a very large cage.
I also recall reading arguments that an ungrounded screen could actually make matters worse as it presents a larger surface area to pick up interference, which could then be induced into the conductors within (made possible because the equipment they connect are not entirely within the cage).
As to whether there is any benefit at all from screened cabels to DSL, grounded or not, I would be highly sceptical.
But I do confess it's a long time since anybody expected me to be a reliable source on things, I may be mistaken. Talking 'Twaddle', in other words