Connect the wall plug end only is the traditional advice. the other end is attached to the wall plug through the ground wire in the cable so there isn't really much difference. Probably not a problem attaching both ends. but during some theoretical huge short to ground you want current flowing through the ground wire not the shield.
it will "wick away" any EM/RFI noise to the ground pin - to earth
connecting it a both ends may allow EM/RFI into the components circuitry - not good
This is a common technique that can be applied to any cable (i.e. interconnct, mains and speaker cables), PROVIDED the cable has a shield as well as a neutral and signal wire.
Some say you should complete the circuit and attach a wire on the female end of the Shield back to the male side shield. I’m not saying the ground plug on the connector. I read about this on audiophile style and it made a difference in my system with a lower noise floor and tonality.
try it before you knock it.
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