The cable shield only has to be connected at one end point to ground for it to act as a zero potential shield. There must however by a ground path for the signal. In many RS232 systems the shell which is often connected to the cable shield is also connected to ground at each end. That is actually a bad practice as it can introduce loops and noise.

The proper (best) practice IIRC is the shield is connected only at one end, and the signal ground is connected at both ends (pin 5) and not connected to the shield. This isolates the signal ground from the chassis which is often connected to the connector shell.

When I build an RS232 cable I use cat5 wire with RJ45 to DB9 adapters. In that situation there is no shield, the shells are not connected together, and there is a true signal ground between the two devices. The component should manage multiple ground returns from multiple connectors correctly. A shielded cable has more capacitance per running foot than an unshielded cable, hence it causes more signal degradation while supplying greater noise immunity.

All of the above is academic as I have never used an RFX unit. It is correct from an electronic circuit perspective if I remember my electrical engineering AC circuit courses