"PE" stands for "Protective Earth" - should go to the mains earth along with any other exposed metalwork.

Still a bit worried about your supply. For one thing domestic mains is nominal 230V but this is a 380V VFD. Yes, you can run a 3-phase VFD off single-phase - my HY VFD does and works fine - but at your VFD power levels it's likely to derate the VFD which won't be able to deliver full power. But this doesn't get round the 230/380V issue!

9KW at 230V means a current draw of getting on for 40A. That's not just a bit more than a 13A socket can deliver - it exceeds the rating of the ring main behind it. At 230V, this is hard-wired electric shower or electric cooker stuff.