Thumb of rule when it comes to shielding: Connect the shield where the line is reference to. Example: If the line you want to shield is VP with respect to VSS, connect the shield to VSS. If the the line you want to shield is VCOMP with respect to AVSS, connect the shield to AVSS, and so on.
One more thing to note, shield are connected to ground, be it AVSS, VSS, DVSS, GND, etc. and NOT to VDD/AVDD/DVDD.
Reason why it is not recommended/advisable to connect shields to VDD: VDD is noisier than VSS/Ground