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We investigate and compare the performance of normal and probabilistic shaping (PS) 16-ary quadrature amplitude modulation (16QAM) in a photonic vector millimeter-wave (mm-wave) signal generation system adopting heterodyne coherent detection. And we obtain a better bit-error ratio (BER) performance in the PS 16QAM scheme compared to the normal 16QAM scheme in the simulation. We also for the first time experimentally demonstrate the feasibility of PS-polarization-division-multiplexing 16QAM in a photonic vector mm-wave signal generation system employing heterodyne coherent detection. We obtain the same BER in PS and normal schemes with the PS scheme providing a higher bit rate. Then we experimentally carry out the performance investigation of PS in a 16QAM-modulated radio over fiber system with 40 m wireless transmission.