There's nothing wrong with using a relay to switch mains voltage, provided it's rated for the voltage and current.
However going by the latest wiring diagram, you'll struggle to get a relay capable of the required current with 5 contacts. The VFD will draw 8 amps at full power, and along with the stepper PSUs, there will also be a surge during power up.
You could use a 3PDT relay, such as RS part number 536-912 which is rated at 10A and power the VFD and PSUs via one contact, however I'd personally use something like 488-2610 with one for the VFD, one for the PSUs, and one for the E-stop circuit.
Note, both those part numbers are for relays with 24VDC coils, but will give you an idea of the type of relays, as they're both a pretty common style/size of relay.