High quality analog video cables use mini-coaxial cables internally for the video signals. These will have a separate shield acting as ground return for the analog video. This is why various video connector standards, including HD15 VGA, have dedicated ground pins for each video line. They're almost universally just connected together at each end, though. The only ground that's sometimes treated differently is the DDC/Auxiliary Power ground which you're probably not even using, here. Even it will probably be connected in some way to the video grounds, but it may be treated separately in layout to try to minimize noise pickup.