Does the shield of a 3-conductor cable work when made into a figure-of-8 cable?

[Rantenti]

I am using a Gotham 85025 cable (3 x 2.5mm²) for my active speakers which takes a figure-of-8 connector, i.e the ground wire is not connected.

At the mains plug side, the ground wire and the shield are both connected the ground as usual.

I wonder if the shield still works in shielding EMI interference when terminated this way. Thanks!