An electrostatic shield is one way to minimize the response of a loop to
the E-field (good loop balance, and relatively small size compared to
wavelength are other ways).
However, the ARRL advice to make loops out of
shielded coax cable has a significant problem for SWLs and MW DXers: the
shield adds considerable parasitic capacitance to the loop. This greatly
reduces the tuning range of the loop for a reasonably-sized variable
capacitor, because the minimum capacitance is fairly high and dominated by
the parasitic capacitance of the loop.
The hams only have to deal with relatively narrow bands, covering a few
hundred kiloHertz at most; something in the range of a 1.1 to 1 range in
frequency from the bottom to top of the band. So amateur radio practice
often uses narrow-band techniques that are not well-suited for SWL and MW
DXing. The MW broadcast band covers a 3:1 frequency range!
If you do build a shielded loop, be sure to cut the shield at one point,
or the loop won't pick up any signal at all.
By the way, contrary to a previous post, there is no need to use fine wire
in a loop antenna. For an air-core medium wave or shortwave loop, 18 guage
or so should be ideal. You don't want to go too small for the shortwave
loop, like 30 guage, because the skin-effect will lead to significant
parasitic resistance in the loop, which will reduce loop Q, and thus
reduce loop output. Larger wire like 16 or 14 guage gets to be
mechanically difficult to handle, but electrically will work just fine.