The wiring diagram in the link quoted above was posted in another thread. It shows shielded wire for the P-Mag P-Lead.
The P-Mag installation manual says, "E-MAG kill (p-lead) wire does not make radio noise and does not require shielding. If replacing a magneto, your existing shielded p-lead wire can be re-used. If doing so, the outer shield needs to be trimmed clean and kept well clear of all other terminations."
I assume the Stein diagram shows shielded wire for the P-Lead only for those who are swapping from traditional mags to E-Mags and likely already have shielded wire in place?
