your answer applies in low density, rural areas. Anywhere else, and in particular near radio and telephone masts I'd stick to shielded.
If you are wanting the best quality sound, then use a grounded cable from the box into your house.
I found some nice Cat 7 cable for cheap and ran it directly from the Fios Box to my equipment. Having it grounded as far as I can possibly go, provides peace of mind.
Having Cat 7 allows for any future streaming demands.
While in general (eg from router to computer) shielded is preferred, if you are connecting a component (eg DAC) to a network switch or directly to a router or computer, check with the manufacturer of the component before deciding. I recently acquired a dCS Rossini DAC. I asked the manufacturer for recommendations re an ethernet cable. The response:
"Thank you for contacting dCS. I hope you are enjoying your Rossini so far, if you have had a chance to try it out?
Incidentally, dCS has been excellent in terms of customer support, quickly answering email questions.