EMI shielding requires fairly high conductivity. Purely carbon based fillers rarely give better than 20-30 dB attenuation. To get a better (40-60 dB) attenuation you need metallized fiber or metal fillers.
As I know, Metal or other conducting materials which are pure condutor, produes high reflection loss and very low absoption loss (negligible in case of Metals).
In case of composites metrials conductivity enhacesd by CNTs hence refelction loss but in this situtuion (composites) conducitng filler(MWCNTs) compounding with the polymer produces different kind of polarization as well as eddy current loss in presence of conducting filler(MWCNT) so all these combindely contributes in absoprtion loss which might be one one caouse for high shielding effectivness.