Anything that has lots of power switching going on in it like a VFD ought to have a mains filter as part of the design, it likely won't meet the relevant EMI regs without it. Note that a filter to stop stuff creeping OUT of the device may have a slightly different design to one aimed purely at stopping crap coming in. And yes, it's pretty certain it will contain an inductor or two along with some capacitors and if it's an input filter ideally a surge protector (VDR).