It shouldn't do that in any circumstance as the relay should be NO so there is no circuit. Could have a relay with burnt contacts or you have bad EMI that is causing the VFD or electronics interference.?

Personally I don't like the cheap relays fitted to Bobs's and would fit an external better quality relay then control that using an output.

Do you have an Earth wire on the Frame going to the Star ground point.? Also, do you have earth on the VFD going to the same Star Gnd point, by that I mean Earth on the VFD terminal and not on the spindle?

What is your shutting down sequence??