The fact that the inner shield is a closed loop confuses me a bit because I was thinking to it as a huge winding that can develop a high temperature if it is shorted, in practice this doesn't happen ?
In practice, it doesn't happen.
The reason the shield works is
because it is a shorted-turn. In simple terms (and probably not 100% accurate), there exists a capacitance between the primary and secondary windings because they are conductors separated by an insulator (which is the definition of a capacitor). If the wall current to be applied to the primary contained not only the 50/60Hz fundamental sine wave that you want but also higher-frequency noise, the small capacitance between windings allows it to couple very effectively from the primary to secondary.
The electrostatic shield acts like a 3rd plate added between the existing capacitor "plates" made up of the primary and secondary. Now you might see the situation as
2 series capacitors: primary-to-shield and shield-to-secondary. Because the individual capacities are in series, the total capacitance from primary to secondary is reduced (recall how series capacitors give a total capacitance smaller than either individual capacitor).
The shield must be a "shorted-turn" because you're seeking to sap the strength of the affected flux/signal. It also needs to be an enclosed structure to be an effective shield. Now a shorted turn should have a high circulating current, but you'e not using a thin wire but a large, wide sheet of copper. That means resistance is low, so Power = Current
2*Resistance (Heat Dissipation) is also relatively low.
EDIT: Electrostatic shields apply to PT Flux Band apply to PT and OT, is this correct ?
The "electrostatic shield" is the copper band between primary and secondary. The "flux band" is the copper band around the windings and core of the finished transformer. The are physically similar but perform different functions in different places on the transformer.
You could simply use a potted transformer instead of a flux band, and accomplish the same end result. However, the potting can will do nothing to keep noise on the primary from coupling into the secondary, as an electrostatic shield does.
Question: What is the application of the transformer you diagrammed? If it is not a power transformer, neither of these things apply. You don't see flux bands on any output transformer. And output transformers often have sectioned and interleaved windings to increase high frequency response/bandwidth; that makes it physically impossible/impractical to place an electrostatic shield between primary and secondary.