I assume you're talking about Strat's and similar, where the rear of the pickguard is shielded but the cavity usually isn't.
Thicker shielding offers better noise immunity than thinner, but has the obvious trade-offs of being more bulky, harder to machine and heavier. Copper foil, aluminium foils and tapes and shielding paints offer a good compromise
It may provide some shielding, but I personally wouldn't rely on it solely as a substitute for dedicated shielding. The metallic coating is provided for looks, not for shielding, and there's no guarantee that the metallic coating is uniform or in good contact with ground at any point.
Non-conductive pickguards should be shielded to the same degree that the original pickguard was in order to expect the same performance. You could avoid the shielding if you choose, but the risk is that it will be more prone to picking up all sorts of electrical garbage than it was with the stock pickguard fitted. It's also possible that if the original wiring was taking advantage of the pickguard's foil to maintain ground connections to various parts of the guitar, the guitar may not work properly if fitted with an unshielded pickguard.