Try downloading some manuals for good quality VFDs to see how they recommend grounding.

Typically the screen would be connected to the earth point at the VFD. Then the VFD earth connected to the star point.
Whether the screen gets connected to the motor varies. I'd be inclined to try it with and see how things run, as having the spindle well grounded is recommended from a safety point.

Ideally you want to avoid ground loops, however sometime they're unavoidable. Having them in the screen of a power cable isn't likely to cause problems. The problems occur when you get a ground loop in signal wire screen, as that's when you start introducing noise into control circuits.