The big issue is avoiding the creation of ground loops near control loop wiring.
There is also the issue of distinguising between earthing, and grounding.
If you look at commercial machines, they usually have seperate earth and ground points. All sheilding goes to earth, with ground being your negative power supply point.
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I know that on my old lathe, the stepper wiring is unsheilded, and the only issue I got was when I connected the spindle sensor shield to the star point. I cut the wire to the sheilding, and never had a problem since (other than the usual usb SS communication issues!)
On my new lathe, I've kept it mostly as it was. All sheilds/earth points go to the earth terminal block, with all the power grounds going to the relevant ground bar. However it also uses 24V sensors/switches with differential encoders, so it should be very interference proof anyway. The mill will also be using the same setup once I get around to getting it going.