Yes, grounding is very important, so don't skimp on ground wires.
There is no need to run shielded cable for fuel pump power. In electronic systems, power leads to high power devices are not shielded (like a pump or motor). Very low amplitude signals are. That is why the VR sensor cable is shielded. For you guys running ZXT distrubutors, it is also a good idead to shield the signal wire from the distributor to the MS even though it is a +12v square wave. Nissan shielded it.
The idea of the shield is to keep noise from effecting low amplitude signals, not to keep noise inside the power lead of a high power device. It cheaper and easier to do it that way too (easier to shield little wires, than big ones).