Shielded Cat5/6 is not necessary, but there are some benefits if you want to make the extra effort and are ok with the cost difference.

If you live in a static electricity prone area, the constant ZAP from Electrostatic Discharge puts a strain on components.  Shielded wire allows more of the zap to be absorbed by the shielding wire instead of the ground wire in the Cat5/6, which reduces the wear and tear on the ESD protection devices and improves the life of the products.

There’s very little Emitted Radiation (EMR) from DC lighting, but some situations can still produce EMR.  Shielded wire will reduce that.

For a vast majority of projects, unshielded Cat5 is sufficient.