There does not need to be a shield. Standard ethernet cable has no shield, so even if the socket were shielded it wouldn't do much for the data on the cable.
I think the reason there are shielded RJ-45 jacks is so that you can make a reasonably tight chassis without a gap in it at the connector, but that is just speculation on my part. The way to deal with ethernet EMI is to use the right transformer. Good ones have a balun on the network side of the differential pairs. Sometimes that's enough by itself, and sometimes you need to put small caps, like 22 pF, on each line to ground. Note that the caps then limit the isolation voltage between the ethernet and your device. That may not matter, but you need to think about it. If necessary, use high voltage caps.