Suggestion: It depends. Cables use shields, equipment must use enclosures, and in some cases shielded screens that are often calculated as far as the frequency and number of holes per square area, and diameter of holes are concerned. Also, it depends on the frequency and emanated or propagating power from the source. The higher frequencies tend to propagate through shields. If you could be more specific, there may be more accurate posting available.
In our experience when dealing with power cables the only effective way to shield sensitive equipment from power cables is to increase the distance between them. Cable shields/ armours shield against electric fields but not magnetic.
Twisted shielded pairs are common for protecting signal lead from emi. The twist helps with the magnetic... the grounded shield (at one place only) helps with the electric.
A shield on a power cable which is solidy grounded on both ends will help to prevent that power cable from generating emi which could affect nearby equipment (although it may require some derating of the cable due to heat generated in the shield). In this case of double-shielded power cable, a current flows in the shield in an opposite direction to the current in the cable. Also, a design which puts outgoing and return cables in the same cable (duplex, triplex for three-phase) generates less emi than three single cables since the currents cancel each other more when they are all close together.
Motors and transformers are big generators of power frequency magnetic field. Distance is a good solution here.
Regarding whether higher frequency or lower frequency travels "through" shields better.... there's a lot of ways to look at it. A given thickness of complete panel enclosure is definitely more effective against high frequency than lower frequency magnetic field. The magnetic shielding effect comes from eddy currents within the metal which are higher in the case of high-frequency. You can calculate a skin depth for penetration of the field... I believe it is proportional to 1/sqrt(f). With all that said, higher frequency may be able to penetrate smaller holes or seems within an enclosure. Also as frequency increases, far-field and antenna effects become observable at smaller distances.
