I personally do not recall anyone shrink wrapping Mylar...and I doubt it can be done effectively or evenly unless it is of a type specifically intended to be shrink wrapped. Also, for such a "Shrink Wrapped" item to even work, the edges of the Mylar would have to go over the outside edges of such a sheet of Plexi, and that would leave you with a rough edged perimeter.
I'm thinking you must be remembering how someone did such "shrink wrapping" onto a separate board and placed that Board behind the Plexi.
I do recall however that some placed Mylar on a thin board using adhesive, or directly onto a wall using adhesive then overlaid Plexi.