I did. Seems like cheap insurance against anomalies, i.e., not much more $/ft than other wire and if you can afford Gecko drives I'm sure you could spend a few pennies more. <grin>
I was getting interference from something in the shop and issues with my steppers moving sporadically have mostly stopped. It certainly minimized the instances after I used the shielded cable.
On several occasions as I was booting up my control box and PC for the day, the closest garage door opener would activate from some sort of RF and the door would open! Seriously! Took a few times for me to put it all together in my head as to what was going on! I'd go to the side door to see if the kids were playing tricks with me. Once I realized what was going on and changed as much of my wiring as possible to shielded, the doors haven't opened since. (Yeah, true story).
Just do it; if for no other reason than to help troubleshoot problems down the road when needed.