Do shielded connectors and cable assemblies help reduce emissions and improve immunity of electronic products?
Yes they can help, and in some cases dramatically. Signals that have periodic switching such as clock lines are a classic noise source. If energy from this type of source couples to a cable that exits a shielded enclosure, the cable can radiate the coupled noise much like a cell phone antenna radiates (although not as efficiently). Placing a shield over the cable (and terminating the shield properly) can reduce the radiated emissions dramatically. For a board to board connector inside an enclosure, the situation is similar except the radiated emission occurs inside the enclosure so the radiated emission may or may not be visible during an EMI test.