Unless you have concerns about EMI from adjacent devices or some assistance with lightning suppression (No guarantees there) AND you plan to properly install shielded RJ-45's AND use properly installed and grounded Ethernet surge suppression devices, then no need for shielded BUT....
...in attics, crawl spaces or walls stay away from conductors and devices/fixtures carrying 120/240 VAC ("mains" voltage to our friends across the pond) by a least 2 feet, don't run CAT cable parallel to them or any any closer than that AND if you must cross them with the CAT cable do so only at a right angle.