WARNING: Tube/Valve amplifiers use potentially LETHAL HIGH VOLTAGES.
Building, troubleshooting and testing of these amplifiers should only be
performed by someone who is thoroughly familiar with
the safety precautions around high voltages.
Should not matter. Such a screen is there to bypass spikes and higher frequency rubbish to earth before it can enter the system via the secondary (power) windings. It works like a capacitor, and all your earths are normally at "earth potential" as far as this is concerned. (Perhaps, if you have a particularly noisy mains, you might want to try different points.)
For valve amps with high voltage secondaries, one could suggest that mains dV/dt plus dV/dt at rectifier commutation could be contributing a much more significant current through the electrostatic screen wire than primary side voltage, and hence it would be better to connect the shield wire directly to eg. the secondary HT CT for a typical rectifier configuration.
Induced current from secondary side HT waveform would then take a relatively short closed loop path. Primary side induced current would take a longer path back from the secondary HT CT to the first-filter cap and then back to star ground and at some point return to the chassis.