OK, so the insulation had failed, there's now a fault connection between secondary and primary. In the absence of a screen, how does the user know that there's a fault ? Answer - he is no wiser because eh still gets whatever voltage he should between line connections and so the "whatever" still works. However, that output is now referenced to the mains input - so potentially (in the worst case, one end of secondary winding touched one end of primary, with the right (or is that wrong ?) phasing) could now turn an isolated 240V output, into something that's 240 and 480V relative to supply neutral (near enough the same as earth for most installations for the purposes of this discussion).However, if the 'good insulation' ceases to be intact, then an earthed screen would be a good thing if there was a fault just in the primary, but a bad thing if the fault were just in the secondary - and, as I said, the worry with the latter is that the user would be unaware of the hazard resulting from the output of the transformer no longer being isolated.
With an earthed screen, the worst case is that the output is now 0V and 240V wrt earth.
I believe we have a name for that, "double insulated".A non-earthed (ideally non-conductive) 'screen' (in addition to the standard insulation) between primary and secondary ...