its not the shielded cable, mine doesn't reset all axis to zero after auto homing, but i wouldn't expect it too
After you auto home, move x and y axis to say Z 50 and X 50, then press zero x and zero y buttons , you can do the same with z axis
after all 3 are zeroed move the axis's to a new location, then press the goto zero, i am not sure you really need the axis set to zero after rehoming, as far as i know you would normally move all 3 axis to the work zero point and then press zero x, zero y button and z zero button, this is now your working zero, and goto zero will take to back to your work starting point.
i might be wrong