Do I need to connect the load cell shield wire?

The purpose of a cable shield is to provide a drain path for EMI/RFI signals, and you should properly terminate this wire. The shield wire is usually thicker, clear, or yellow and an open ohm reading as measured across any other load cell wire.

The shield wire should be connected to the weight controller shield screw/terminal. The weight controller should also have a good ground connected to the power input connector. Single point grounding is essential for a good EMI/RFI drain. If you connect both ends of the shield to ground you can create a ground loop. The shield wire should be terminated, but not grounded, at the summing box. The summing box shield connection is only used as a splice junction.

If you are utilizing intrinsic barriers you should connect the load cell shield wire to the ground buss at the barrier rather than at the controller.