Yes. Shielded cables need a proper drain to ground. Most folks will NOT have that in a residential setup. Protip: If you’re just running the cables point-to-point between devices, you do NOT have a proper drain. (In the Enterprise world, this is part of the structured cabling infrastructure.) Without a proper drain, the shield actually becomes an antenna, doing the opposite of what it is supposed to protect against.
Shielded cable is also largely unnecessary in ANY environment, save for industrial applications where you have cable running near sources of extreme EMI (like arcwelders or other industrial equipment). For residential usage, particularly considering most residential runs are fairly short distances (a few tens of meters, max) and are never subject to devices emitting high amounts of EMI, shielded cable will cause more problems than it solves.
Also, there is no reason to go nuts on the CAT level, either. It will have ZERO impact on sound quality. CAT 5e supports up to 1GBit/s at 100m. CAT 6 supports up to 10GBit/s at ~55meters (as well as 1GBit/s up to 100m), CAT 6a supports up to 10GBit/s at 100m. CAT 7 and above is pure marketing, there is no real-world use case for it (all the actual use cases switch to fibre beyond CAT 6a). If all you are running is 1GBit/s, you will NEVER need anything more than CAT 5e, and the higher CAT cables will do NOTHING for. That said, CAT6 is in many cases the new lowest common denominator now, with the bulk cable costing near enough the same as CAT 5e that people just install it anyway to futureproof in case they ever do move up to 10GBit/s Ethernet links.