A difficult question to answer
The main reason why I connect the connector shielding on our CPU boards directly to board ground is, that it is connected this way on the reference boards (including reference schematics from companies like Intel or AMD). Also, we have seen better results when doing ESD testing.
However, the connection may depend on the kind of board you are designing and applications. For example, one of disadvantages of direct connection is, that if you are connecting boards which are far away from each other, there can be difference in Ground potential and when you connect these boards together, there may be current flowing between them.
So, if you are not sure, you can always separate the shield and board ground, but give option to place 0R resistors around the board to connect them together.
I hope this helps.