Geoffrey got to be methodical to find this. Make one change then test before making another.

Start with small trivial things first like removing the Tie raps holding cables together around the machine and separate the VFD cable from Stepper or signal cables.
Next make sure the screens from the long cables go to the Star Earth not just the cables inside the box.

I See you have 4 wires going to the spindle and suspect one of them you have connected to the Spindle for Earth.? Remove this at the VFD end and try.
Also Only connect the spindle cable Shield at the VFD Earth not both ends.

After doing these I would remove the VFD from the Box as a test. If solves then fit a Line filter and try again but it still may not work if you have sensitve elelctronics in the control box.?. . Like Cheap nasty BOB.!!!!!

One last thing you haven't earthed the PC case to control box have you.? If so remove.