I've as often seen the shields between attenuator sections, instead of
in the middle of a section. I can assure you, there is plenty of
coupling across the switch itself where you can't place a shield, and
the coupling is both inductive and capacitive. Maybe use two separate
SPDT switches with a shield between them and mechanically ganged?

It's instructive to take apart a good microwave relay to see how they
manage high isolation and constant impedance, but check the price of
such relays before you destroy one to just have a look at it. (e.g.,
Digikey 255-1579) With such relays, SMT resistors and careful board
layout, you can make a very decent step attenuator up through UHF at
least.

Cheers,
Tom