Ray,
1 Has the VFD got a built in or added on mains filter? The manufacturer will specify.
2 Do what the circuits say, shield the control wires in one screen and the motor wires in its own, earth ONLY one end of the screen on the motor leads. Have a good strong earth to the lathe, the incoming mains supply earth is OK to the main common earth but make it of a good wire gauge.
3. You can run inside conduit AS WELL, I did on my M300 but only for convenience
I have 4 inverters, all clean without problems, All as it happens, are inside a metal cabinet for safety reasons, but as I did not take any precautions where the screened cables pass through the metal wall, the cabinets are not really providing any real screening.
All my cables are SY screened flexibles, screens earthed one end only.
All my kit is in the garage and additional workshop, which are under the house (I live on a hill).
Hope this helps.
K