Of course, most machines are massive lumps of cast iron and steel cabinets which form a good hard ground and provide a lot of shielding into the bargain. In contrast, if you are constructing a relatively spaced out router(?) using extruded sections with long lengths (high stray inductance), you lose many of those benefits.

For my machines, I've used Lapp Olflex shielded drag cables, which have shielded bundles within a shielded outer braid. I noticed that the original wiring in my Shizuoka (Matchmaker CNC system, using Parker hannefin servos etc) used simple screened multicore cables for stuff like the encoders but simple unscreened wires for most of the rest (limit switches, solenoids etc). The spindle motor and brushed servos were wired through flexible, grounded steel conduits, which would have contained a lot of the HF noise. I reused that system when I swapped out the electronics and it's been very well behaved.

I have the Yaskawa VFD in the same cabinet as the rest of the electronics but I bought the pukka Yaskawa-Schaffner EMC filter to go with it. I've not had any issues with that either.