I don't believe the shield is intended to perform the function of either a grounding electrode conductor (GEC) or an equipment grounding conductor (EGC). If the installation requires either of these wires, the fact that you are at 5kV or 15kV does not alter the situation. Table 250.122 would be the right source, if the installation requires an EGC. Table 250.66 would be the right source, if the installation requires a GEC. Voltage is irrelevant, as you correctly suggest.
There are installations that require neither. For example, if you bring a 4160V service into a building from the secondary of a 34kV-4160V transformer, with the main service panel inside the building rated at 4160V, and with the N-G bond located in the main service panel, then the service conductors would not include a ground wire of either the EGC or the GEC description. On the other hand, if you run a feeder from one building to another at 4160V, then you need to include an EGC sized per 250.122.