If a wire has shorted out, then it's likely blown up something in the power stage of the VFD.

If you do what Nick has suggested, it should show up any fault, however if you have any concerns over the integrity of the cable, replace it to remove any doubt. For the minor cost in relation to a VFD, it's a small cost for piece of mind. And yes, CY cable will be fine.

It's probably worth trying to power up the VFD with nothing connected.
I've just checked the manual I have, and a DL error is an invertor overload error, so if the fault remains the same with nothing connected, I'd guess something has shorted out in the power stage.