The documentation says Power Return and Shield are connected to Digital Ground. Does that mean I should just splice all three wires together when hooking it to the power supply?
Internally, they are all connected. The digital ground is intended to be wired with the communication lines in the event that the comm lines are long. If everything is close together and you don’t have serious concerns about EMI or RFI, you can probably just leav the digital ground and shield pins unconnected.