Most VFDs don't have filtering incorporated, as it's expect you will fit whatever is appropriate for the final installation. Consequently, many hobby installations don't bother unless there is an issue due to the electrical noise.

I fitted Yaskawa V1000 drives in both of mine. They didn't actually cost a lot more than the Chinesium equivalents and you can buy EMC filters that are tailored for those specific drives. They may not guarantee 100% compliance with EMC regs as such but are going to get you in the right ballpark. Certainly, I have not had any issues. This is how professional installations are constructed, rather than simply locate the VFD on the other side of the shed(!).

Getting everything into one cabinet makes for a tidier installation and allows you to construct it on the bench where access is a lot easier. It's a personal choice but I like the end result to look reasonably professional.