OK, so shielding in an audio cable...
pin 1 of an XLR is, as j. hall stated, connected to the shield at least at one end, and perhaps at most at one end. This is classic shielding function. Let's look at it in two scenarios:
1. Microphone cable: In a microphone cable the shield is connected to ground and serves as the return for the phantom power supply. If there is no phantom power, the shield is typically electrically floating, or attached to the microphone body. This is in fact shielding the way it's intended to work. It will reduce RF interference of the electric field variety (you can hear WKRP coming in on the mic).
There is no real opportunity to create a ground loop and pick up magnetic interference with this type of shield. Balanced connections operate by cancelling hum, so only hum actually picked up in a microphone voice coil that shows up as a differential voltage, or otherwise in a microphone assembly, will be present depending on how closely balanced the circuit is.
2. XLR interconnect at +4dBu: In this case, the shield may be connected to ground at one or both ends and does not (intentionally) have current flowing. Ideally, in classic shielding design, the shield is connected only at the source end and is left hanging at the load. So inputs would float the shield, outputs ground it. This is a ground-loop prevention scheme.
The opportunity to create a ground loop here is really great. Let's say, for example, we have a mixing console, a mic preamp, and a DAW with converters having XLR inputs. We attach a couple of outputs from the mixing console to the converters, some outputs from the converters to the console, the output of the console to a power amp (over XLR), and the mic pre (via XLR) to the converters. If everything (including the converters) are connected to common (earth) ground on pin 1, then we have a huge bundle of ground loops.
In this scenario, current can flow from the console out of each of the output connectors, to the converter, and then to ground at the AC plug, or down the input connectors, to the converter, and then to ground, or down one XLR cable from the console, to the converter, back through the mic pre, then to ground at the AC plug, you name it. There are dozens of ground paths from any point in the circuit. Since the impedance of each of these paths is not zero, we have a ground loop and it will pick up a LOT of hum.
To correct this, the most effective way is to simply open the ground connection at the end of the shield on each XLR cable at the male end of the cable. Every cable except ones actually used for microphones could benefit from this treatment, and it will almost eliminate the possibility of ground loops.
The real trouble with ground loops is when ground connections are made between pieces of gear. Each piece of equipment has a ground current "return path" through the neutral line in the AC plug. Introducing another ground conductor gives current on that equipment another ground path, and creates a ground loop. In isolation, each piece of equipment has an "incomplete" ground loop... ground conductor goes to the piece of gear and nowhere else. It's like a ground "stub". If you have to pieces of gear each attached to an AC plug, you now have two "ground stubs", and to interconnect them turns a "V" into a triangle, thus completing a ground loop.
The most effective way to reduce hum in the studio is as follows:
1. avoid ground loops by making sure there are not continuous ground connections between different pieces of gear
2. control ground currents and loop area especially on high-powered devices. This will lower the amount of magnetic field intensity you have to isolate (treating the problem at its source). Reducing the length of a power cable going to a big power amp will reduce the circuit loop area and reduce the intensity of the magnetic field (hum) it produces.
3. proximity. Locate your power supply circuits and high-power devices in one area, and locate your susceptible circuits in another area. Power distribution design can really affect how much "hum" you pick up, simply by locating wiring and circuits that share return currents in a way that isolates them physically from susceptible circuitry. For example, the way NOT to do this would be to route your XLR cables and power cables in the same cable raceway.