Y Stepper turns when spindle is on

[magicniner]

I'll check all connections and try the vfd with a long extension.
I've ordered some screened 3 core.Should I ground the screen at both ends?

Good question, general consensus is no, and ground all at a central point (a Star configuration)

If the issue is RFI from the VFD feeding back to the mains you would need an RFI filter on the VFD mains input as close as possible to the VFD, most manufacturers make one which integrates with the VFD but Chinese units may differ.