The weather station, a La Crosse WS23xx series, already has an RS232 serial port for grabbing the data. The shield is necessary to step the voltage down to levels that will play nicely with Arduino.

while there is no true shielding in twisted pair cable, the twist itself is a shield. If rs-232 is better shielded than cat-5, then explain to me why I can do gigabit ethernet over 100m(328ft) of ...