This question is answered in the Field Wiring and Noise Considerations for Analog Signals
document, under the "Capacitive Coupling" section. If the sensor is grounded, use that ground, and don't connect the wire on the side of the measurement device. If the sensor is not grounded, leave that wire disconnected and connect it on the DAQ card side to the card's ground. This ground is likely called AIGND or something similar.