I think you may need to add ground wires between the various parts of the machine, to ensure everything is grounded.
I've just noticed in your photo, that you're using aluminium extrusion, which will be anodised, and anodising is a brilliant insulator.

Did you try running the machine with the VFD cable screen connected at both ends (and check that with it connected, there is continuity between the spindle body and the VFD earth point)?