daisy chained CAN devices grounding question

On a setup with AEM CD-5 display (connected thru OBD2 port), then AEM 22 Channel CAN sensor module, and AEM K-Type module, the main AEM harness is used to daisy chain all the devices, but the AEM Power/Ground subharness is not used. An additional non-AEM 3rd party CAN device (#4 and final device on this chain) with terminating resistor is to be added after the K-Type module, with its CAN H/L daisy chained into the K-Type's connector. CAN H/L shielded wire is used, does the shield need to be grounded to the K-type module's ground pin? For the 22 Channel as well as the K-type, should a wire be spliced behind each device's connector ground pin and then joined together as one cable and grounded at the engine block? What would be the ideal setup in this scenario?

By design, there is no need to share grounds between CAN devices (or necessarily use a shielded wire). However, in practice, some implementations may not work without a shared ground.

CAN works as a differential signal pair, so one signal is high while the other is low -- it's the difference in voltage that indicates a 1 or 0 on the bus. If there is common-mode noise (the type of stuff that shielding helps with), then both signals will rise and fall together but the differential voltage remains the same. Keeping the differential is the reason that the wires should be twisted together.