The conductor between the NGR and the neutral point of your transformer absolutely needs to be rated at full system voltage, because during a hard ground-fault it will assume L-G potential.
The conductor bonding the NGR to your grounding pad will see a lot of current flow, but shouldn't see a significant voltage rise. My opinion is that this does not to be insulated. That said, I have seen that installed as both insulated and uninsulated.
As far as stress cones, yes, I think 310.10(E) makes it pretty plain that most MV cable must be shielded. This would be especially true if you're running anything other than a 100% insulation level where you could have a sustained fault and prolonged stress on the cable.
