Yes I have. Most of my customers want long xlr cables and I think shielding is smart for these.
They can be built as you say with a shield which I have done. I like to use a shield on a properly constructed xlr cable.
This is a pretty good point that Paul of PS Audio made;
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Here's the deal. Balanced XLR type cables, when used properly, have great noise immunity (as he said). They accomplish this noise immunity through something called common mode rejection. Inside the balanced cables are two signal wires (where an RCA style has only one) and a ground. When something hits both signal wires at the same time (like noise and hum might) it can be said that this is a common signal and it will be rejected. Thus the term common mode. Make sense?
The reality is a lot less clear. The common mode rejection rate depends on the receiving and sending piece of equipment. Some products have great common mode rejection (CMR) and others have lousy common mode rejection. For example, PS Audio products have some of the best at about 80dB for our preamplifier. This is unusually high in consumer audio. Typically you might see CMR levels of 30dB, 50dB and so on.
What this means is that unless you are completely sure about the CMR effectiveness of your equipment, you're better off with a shielded version. Further, even if you have something that's as good as ours (and others) shielding the cable removes even more so that when you combine the CMR with the shielding, you get extremely quiet results.
if the cable is well designed, there won't be any negative effects to the shielding.
Hope that helps.
paul”