Often tube shields are used to reduce hum pickup, which can still be a problem in RF circuits. Other reasons to install them include reducing noise and other nonlinear effects (especially in areas of strong RF fields). They are also used to reduce RF radiation, as in the case of TV tuners, shielding the local oscillator.
In most audio applications they are used to reduce hum pickup, not RF. We found some years back that when using the Russian ceramic sockets (that had shields) that the sockets and especially the shields did not help things one bit, as they contributed to stray capacitance effects, decreasing the cutoff frequency. Removing the shield was an easy way to improve performance.
If you are having RF problems with your gear, I recommend installing grid stop resistors. They are a series resistance with the signal, but you will find not only does the circuit sound better (and the RF is gone) but also the circuit will likely be quieter. High frequency stability in the circuit will be improved as well. And you won't have to worry about shields (unless you have a magnetic field from a power transformer to cope with).
If you look in older gear you will see that grid stops are quite common. For some reason, many 'new age' designers haven't seen the light....