The reason the cable are shielded is to reduce RFI. What you don't want is to have long lengths of wire connecting the shields to ground - one or 4. The star point is in the wrong place, it needs to be as close as possible to the drivers.
Just to enlarge on that. In shielding RFI from the cable, currents are induced in the shield by the capacitance to the conductors. Those currents have to go somewhere or the shield itself will just act as as an antenna instead of the conductors. It isn't actually obvious where the best place to do this is, but probably the 0V connection to the actual driver to which that cable is connected. This stands the best chance of minimising circulating interference currents. Then connect all the 0V's to a nearby start ground point. There is debate about what to do at the other end of the cable near the motor, but my inner RF engineer (which earned my crusts for 6 decades) says it should be connected to the motor frame, even if this also has a safety ground.
I have 7 steppers all being driven with unshielded cable and don't have any problems so I wonder just how much it matters. But my electronics are all in metal chassis.