MM cartridges are specified to work at a given capacitance and that includes the capacitance in the phono cable. Typically, you want that to be a low capacitance cable, because many MM phono preamps offer the option to increase capacitance. (Obviously, you can never reduce that at the preamp.)
Shielding is another issue and my advice is: Avoid shielded phono cables when you can. Of course, you may not have a choice if you have noise, hum, or RFI. But if you're in a quieter environment, or able to take advantage of a phono cartridge's inherently floating output and run it into a truly balanced differential phono preamp, you might get better sound with an unshielded cable.