I think this may depend on what you know, or fear,
about the electrical environment.
If I thought there would be a significant low impedance
ground offset, I'd tie the shield at the transmitter end
and let the receiver common mode range take out the
offset; the shield foil in many cables might not stand
a high longitudinal current, the shield wire is only signal
and not power-sized. Cat5 cable is, what, 24-28AWG?
If I suspected a lot of EMI pickup, again I'd shield to the
transmitter with the idea that ground whip would not be
bothering the local receiver ground as an antenna. It
is not all just about the digital lines.
If I had some reason to require both "grounds" be near
equipotential then I'd use the shield to do that.
I don't have any reason why you'd want to tie the
ground to the receiver alone.
The value in RS-422 (and -232) is the high common mode
offset range, meaning you don't have to be so worried
about ground offsets over long distances, or even have to
connect the grounds at all.