Generally speaking, the physical architecture of an Ethernet cable is quite adept at not absorbing RF interference, as long as it follows specifications and uses two twisted pairs to carry the signal. The twisting of the wires in each pair will cancel out most interference.
Shielding comes into play when running Ethernet cables together, and in parallel, with unconduited power cables over significant distances. Think raceways. But this shouldn’t be done anyway given that it’s poor practice and also likely against building codes in many jurisdictions. If this is the case, shielding should be employed, but also carefully inspected, so as the ground to be bonded on both ends of the run. You’ll know a proper shielded cable by the metal RJ-45 connector. A shielded cable that’s bonded only on one end is a recipe for RF disaster, as the shield is effectively acting as an antenna.
The good news is that none of this will affect the audio quality beyond experiencing buffering and/or plain dropouts.
Additionally, today’s network interfaces have significantly evolved and are really good at dealing with noise and interference. Shielding was more of an issue back in the days of 10 MBs networking, and when hubs were used instead of switches.
I hope this helps.