I agree that you should at least find a way to ground the coax for reasons of personal electrical safety. I use a grounding block that is connected to the electrical system ground with no. 10 copper wire.
The power supplies in equipment now are mostly switchmode power supplies (switchers) for reasons of efficiency. Switchers have more AC leakage current than the older transformer operated power supplies. All power supplies have some leakage current which puts a small voltage on the metal equipment case and coax shield even of equipment that is operating properly. When multiple pieces of equipment are connected together, these leakage currents add together which might be sufficent to be felt if you touch the case and a ground.
If the equipment becomes defective, you want the excessive current to go directly to ground and not through you.
I have had some personal experience with this problem and made some tests to figure it out:
http://www.avsforum.com/t/1255983/vo...#post_18772087