If the shield of your cable is used for EMI mitigation, as it often is, and your PCB is contained within a conductive enclosure, then the shield should be connected directly to the conductive enclosure, not to the PCB. The conductive enclosure itself can be connected to the PCB ground plane.
When a cable shield is used for EMI mitigation with a conductive enclosure, the shield and conductive enclosure together form a Faraday cage. Bringing the cable shield (or an extension of it) into the conductive enclosure without first connecting it to the enclosure somewhat defeats the purpose of a Faraday cage.
Perhaps it isn't a great analogy, but if you are in a car, you are quite safe from lightning strikes. However, if you stick your hand out the window, not so much.
If the PCB has no conductive enclosure, and the cable shield is used as a signal return, then you have little choice but to connect the shield/signal return to the PCB. However, this is not ideal from an EMI standpoint. Better would be to use something like shielded (or even unshielded) twisted pair, and have a dedicated conductor other than the shield as a signal return. In this case, a cable shield, if present, may or may not be connected to the PCB depending upon the specifics of the project. A cable shield may sometimes be connected to the ground plane through a capacitor for the purpose of attenuating low frequency EMI induced by mains wiring or mains ground loops. However, the dedicated signal return conductor should definitely be connected to the PCB ground plane directly.