Seems strange that the VFD isn't generating any kind of error message.

First thing would be disconnect the spindle power wires from the VFD, then measure for continuity between them in pairs, and check for continuity between the pairs and earth/gnd.
The three pair combinations should have quite similar values. Any high resistance measurement would indicate a broken wire, or a failed spindle, so you'd need to re-measure directly at the spindle.
And any continuity between those wires and gnd would indicate an insulation failure somewhere. Again, you'd need to re-measure at the spindle.

Failing that, swapping parts out is the easiest option.