If the motors don't have overload protection, then they wouldn't have any protection when run from 3ph mains…
The drive protects the drive, that's why there is current sensing either on the three separate output stages or (on cheap stuff) the DC bus.
The REO filters are made specifically for use with VFDs, and I thought the price was reasonable when I bought it from them.
4kHz switching frequency is towards the bottom end for smaller VFDs, Even my old 23kVA Danfoss unit that I started with was happy at 8kHz. In the case of long cables from the VFD, the filter improves life for the VFD output stages as well as eliminating EMI and motor noise.