From an interference point of view, the screening effect of the co-ax shield is ideal but it also has other effects. Most dominant is the effect of inductance along the wire length and capacitance between the wire and shield. The diameter of the center wire to the shield inner surface also gives it a characteristic impedance which under some circumstances you need to match with driving and terminating resistances. If you are using good quality RF cable (usually Z=50 Ohm or 75 Ohm) but low frequencies you are probably safe to ignore the impedance although for capacitive sensing you obviously have to take into account the cables own contribution to your readings.
I'm curious to know why you have a capacitive sensor witha frequency sweep.
Brian.