Yes, I think that typically EMI filters do include some kind of inductor/choke - at least, the one I have with a circuit diagram on the outside is like that! I would expect to see a couple of chokes and a few strategically placed capacitors.

Couple of reasons why moving the connection to the other side of the workshop might have helped. One is that possibly the coil of cable but possibly also the increased length of cable between VFD and control box was the reason - the high-frequency noise would be reduced just by having to travel further along the cables. The other reason (depending on the kind of workshop you are in) is that the sockets on the other side are either on a separate ring main (and hence separated by a couple of MCBs, probably, which have coils in them) or even, if it's a non-domestic workshop, on different phases. My own control box and VFD plug into the same multi-way socket and I have never had noise problems, but I deliberately went for a 24V system (limit switches, e-stop, etc) rather than the more common 5V purely because it is much more intrinsically noise-resistant. Maybe 5V would have worked for me, but I wanted to frighten away the gremlins with a big stick even before they appeared! Don't actually know if my HY inverter has a built-in EMI filter or not, though.