Firstly,
If you’re not familiar with wiring higher AC voltages you might want to get a professional to do it.
The warnings on the VFD are there for a good reason, the incoming 220V is rectified and stored internally at closer to 400V, this persists even after input power has been removed until the capacitors are discharged.
Adding an RCD is usually a good plan, but it cannot protect you downstream of the VFD because a ) it can’t see through the VFD and b ) the VFD has more than enough stored energy to end you anyway
Getting the grounding right is key for both interference and safety.
Grounding the shell of the spindle is critical for safety, as yours is a decent German unit I would expect that to be reasonably easy. This grounding is what will trip out the breaker or VFD if there is some sort of fault.
Grounding the screen of the spindle power cable is important for minimising interference.
Grounding the shell of your EMI filter is important for both safety and interference.
The reactors and chokes thing, the noise filter for the input is important, you can add some ferrite chokes on the output wiring, but I’d only bother if you have an interference problem. I personally wouldn’t bother with the AC input reactor unless I had a noise problem.
A nice metal box with cable gland cutouts will make it easy to mount all this stuff. If your VFD display detaches you can put that in the box too, with appropriate ventilation. The box will also likely have earthing studs etc. and let you put some DIN rail inside to mount a breaker and some terminals for your wiring if you want to. These are cheap because they’re mass produced and most electrical factors carry them.