The Shimano instructions included with new parts say grease the cables. All those pages are on the web.
This is only one example of the Shimano instructions telling you to grease all cables during installation. It is the instructions for the new STI shifters. The cable instructions are on the upper left in a box. Shimano includes this with new parts. They tell you to grease the cables. The new Dura Ace shift cables are grease filled from the factory with a special grease. It's on this page as well
http://techdocs.shimano.com/media/te...9830621413.pdf