It's got to be better having the VFD inside a steel cabinet from an EMC (electrical noise) POV, as well as making a neater installation. In both my machines, I have the VFDs mounted inside and have a fan to ensure they can stay cool. Rather than have the fan powered all the time, I have a simple central heating thermostat to turn it on when / if the air temperature exceeds a threshold which is something like 40C. There's an exit grille with a foam filter above the VFD and the fan is mounted near the bottom of the cabinet.

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