shielded vs unshielded pros and cons?

"...I think all audio interconnects are shielded?..."

No they are not all shielded. A shielded cable can help reject noise if there is noise nearby. If you are in a low-noise environment and your system is not picking anything up, shielding is not required. 

Shielded cables have been an absolute necessity in my systems between SUT and phono pre. 

Other than cost, there is no downside to shielded cables.

There are vendors on ebay who are small-scale makers of ICs, who claim sonic differences between shielded and unshielded versions of what is otherwise the same cable.

For ICs I go with shielded cables, especially when using long runs.

If the environment is free of EMI and RFI noise and the cables are short, unshielded cable should suffice. In theory shielding colors sound, so pick your poison.

I have no idea how you would measure how much EMI and RFI noise and determine whether it’s worth shielding or not.