Shielding is not normally required unless you are running a HF radio where interference from the ARINC is possible. It has also been known to interfere with storm scopes so if you have some shielded twisted pair lying around it may be a good idea to stay with Garmin's recommendations.
ARINC 429 is slew rate controlled and this together with the twisted pair, balanced line concept reduces RF emmisions greatly but there tends to be a fair amount of lower frequency rubbish left - you'll never pick it up on VHF but lower frequencies are definitely a possible issue.
