Things to check.

Check VFD Shield wires goto ground, VFD is one of the few execptions where it's ok and even recommended by some manufacturers to ground both ends of the sheild.
No signal wires, so steppers,estop etc run along side VFD cables or even along side any power cables.
Don't cable tie signal wires together or along side power wires.
Use a Star grounding in control box.
Double check all connections for lose wires, Esp the earth.

Does it only do it when spindle starts or when you actually turn the VFD on.?