Some VFDs have built in RFI filters, but these are typically only rated for 'industrial use' (where there might be more tolerance of some noise on the mains). Some of these filters can be switched out of circuit !
If you fit an input filter, it should be on the metal backplane that the VFD is mounted to for best performance (I've seen them located using Velcro strips !).
Earth connections and screen connections (not the same thing) are important. Screen on power connections should be bonded directly to the metal backplane.
Metal cabinet door should be bonded to cabinet body/backplane.
There is lots of good information on line – also lots of people contradicting that good advice. The installation manual for the specific VFD can often be a very good source of advice.