Stuart - I don't think he's talking about axle alternator cables. He's likely referring to the flexible braided wires that bolt directly to the frames and boxes.
Electric locomotives take their hot lead from the overhead or third rail and the return is through the rail/earth ground, so they have to have good electrical continuity from the internal electrical system to the rail. That continuity is compromised by the separate components of the running gear, including separation by grease, dirty oil, etc. The solution is the braided wire to get electricity as directly as possible from the frame to the wheels. In addition to the visible braids from truck frame to journal boxes, there are also heavier braids that connect the main frame to the truck frames. From the journal boxes the electricity must pass through the axle bearings to reach the axle/wheel, but the use of conductive oil in a sealed bearing makes that part relatively reliable compared to centerplates and pedestal openings.
Additionally, the braids are just heavy duty flexible wire, not shunts. An electrical shunt is something different - a resistive bypass usually used in control circuits.