great result you have control of the stepper motors sorted

the relay will connect between the common and the forward switch terminal on the VFD

in the VFD manual there is usually a diagram to wire switches for the manual control of the VFD and a remote potentiometer to control the speed

on a CNC machine the variable DC voltage from the potentiometer is replaced by the 0 to 10V output from the breakout board
and the relay replaces the forward switch

do you have a link to download the VFD ?
or post the make and model number to search for the manual

John