Don't mess with it, return it as faulty!
A decent VFD will detect an incorrect load, be it short or one or more disconnected phase (some detect open circuit but not all) and simply refuse to drive it with an appropriate error code rather than emit Magic Smoke!.
You shouldn't be able to bugger a VFD even by shorting the output, it should detect current overload, shut down and give you a meaningful error.
It's a bad 'un, send it back and buy something decent!
Regards,
Nick