I don't think you need to screen the power cables TO the drivers but it's usual to screen the multicore cables going out to stepper motors to prevent them coupling noise into the limit switch wiring. Not sure if it's as critical for servos but should also be done for the spindle cable. Sheaths are earthed at one end only, normally the controller.

It's a good plan to route the power and signalling cables separately within your controller, don't bundle them closely together, and bring all the earth connections to a singe post rather than just connecting to the chassis at the nearest point.

Kit