From what I would understand ( I am looking at an AS-3225 ) the static shield would go to ground. The primary and secondary windings should be varnished and safe. Grounding the shield would dissipate any noise between the primaries and secondaries.
Any noise dissipated from the shield and static shield would seek the shortest path to ground. This would be the third prong on the NEMA plug (ground) and it would head out to the building/panel ground from there.