Should cable shield connect to ground plane on hand-held tethered device?
This may be reasonable or not, depending on the environment.

First, you should have reasons to suspect EMI may be a problem, otherwise I wouldn't bother.

Second, you should understand where the source of EMI noise is. If the source is near the device (or the device itself), grounding a back plane via the cable sounds like a good thing to do, provided the device is hand-held and cannot have its own proper grounding.

On the other hand, if the device is operated in a relatively calm (EMI-vise) environment, whereas the cable goes e.g. through a plant with heavy machinery, your ground connection will do more harm than good. The cable shield will effectively act as antenna, picking up all the noise from the plant and delivering it to your device, which would be much better off without it. In this case, you should still ground the cable shield, but not connect it to the device.