Confusion in grounding shield wires of transducers
I would connect them like this:

Why?
Because if you don't, you could get capacitive coupling between the shield and the sensor that the shield is supposed to be shielding. A shield should be at the same potential as the thing it is shielding. Any electrical field on the sensor shield will flow down the shield to the AGND and be shunted away from your sensor. Make sure your AGND is low impedance to the other grounds in your system.
If the cable is attached to earth or chassis ground, there might be the possibility that you are shunting the currents from the shield to earth ground where they belong, but also picking up common mode noise from the earth ground.