Can't say specifically regarding CRO shields, tho I'd imagine it would be ideal there as well, as you wouldn't want a magnetic shield developing a bias.
However, in a transformer, what you're seeing is lower hysteresis, which translates to less magnetizing current, which then translates to less loss.
The more a core material tries to keep magnetization in one polarity, the more energy it requires to "undo" that magnetization in order to flip it the other way each cycle; this energy gets lost forever, as heat.
Steve