It's not easy to do any shielding in hollow bodied guitars, especially where it counts most with humbuckers - in the control cavity.

You can shield the pickup cavities, but as the supplied pickups are humbuckers with covers, then it's going to do next to nothing to reduce induced noise in that area, but adds more wires to solder and conceal.

The pickup leads are shielded, so the only unshielded wiring is on the potentiometer/switch/output jack harness. These are all close together, so this does reduce the level of noise picked up. If the pickup selector was on the upper horn, then I'd certainly use screened cable to run to it, as it's quite a distance, but it's probably not worth it for a few centimetres.