Bob - I asked since I've never had coax interconnect. Grounding shield on both ends is really bad, using shield as return is even worse. In addition coax cables, used in video applications, have not the greatest copper since at high frequencies signal travels only on the surface (often silver plated). Blue Jeans cables can still sound great (I don't question that). Capacitance, they are so proud of (12pF/ft) is nothing special (typical for polyethylene) since best cables have 3.5pF/ft and my cable has 5.1pF/ft. In order to get this capacitance foamed teflon in oversized tubes is required but it's expensive.
I am not talking about ground loops. If transmitting end (let say preamp) has ground/case at different potential than power amp's ground/case then it places this potential on the shield. Shield couples this difference (AC) to signal wire (referenced to different GND). When shield is grounded on the amp side then it has exactly the same level as the reference level of the signal wire and doesn't couple anything.