There are certainly times I'd enjoy a lighter cable, but removing the shielding does have potential downsides in terms of noise. If memory serves, Dan is using the same canare star quad (i.e. high quality braided then shielded pure copper cable) that many top flight studios use for the sensitive mics that record the music we are all playing back. Not sure how much purer you can really get.
If you dig deep enough in the diy forum, you will find threads where people actually express preferences for canare and/or mogami (pro cables) over the uber expensive cardas audiophile stuff. YMMV of course.
To my understanding only the front end of the amp needs the shield (input signals). Not necessary on the power out side like headphones and speakers. Unless you own a $12k garden hose speaker cable suspended in snake oil an terminated with unobtainium spades.