A screen in the transformer might be helpful to avoid radio frequency interference or to protect poorly designed equipment from overvoltages but the most severe problems in the low frequency range will not be solved by such a design.
I don’t think ANSI standards address shielding as a means of harmonic reduction. Ref: ANSI/IEEE C57.110-1986 Establishing Transformer Capability When Supplying Nonsinusoidal Load Currents
I too agree with Busbar. The harmonics are generated by the drive and one thing to be taken care is that the transformer desgn takes into account the additional heating due to these harmonics. Usually the trick is to increase the transformer rating by a factor so that the effect of harmonics is taken care of.