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That is EMC question
I normally connect them to GND, but this depends on the type of board you are designing, what kind of enclosure you have and how it is going to be mounted in your system. Capacitors will prevent DC voltage flow e.g. if you have two boards connected together via an interface and they are grounded far away of each other (e.g. plugged in to MAINs in different rooms), but still makes a connection for high frequency signals e.g. in some cases it can help to filter noise or still be able handle some ESD discharge.