Ok First from what you have said are you sure that you have a good earth into your shop (is it actually connected)?

Where are the pictures?

It is beneficial to wire steppers with 4 core screened cable with the control box end of the screen connected to the star point.

Personally I would keep the vfd mains wiring on its own socket.
If you have grounded the screen on the spindle cable at the vfd end. then don't connect the screen at the other end.

Have you grounded the machine frame? to the star point. (the purpose of the star point is to avoid ground loops)

I take it that the electricity supplier give you an earth connection and that you are not using an earth rod in the ground.