Yes it looks as if you have a short from the windings to the case. The case should be grounded, so a short between the outputs of the VFD and ground will trip the RCD in your house.
You should be seeing open circuit between the windings and the metallic case.

Unless it is under some sort of warranty you might as well go a stage further and dismantle it to see if there is any obvious wiring short you can rectify. Failing that, you are holding a piece of scrap. Could it have been like this from new?