Arjan raises a good point, checking out the grounding is a good move as you have the interference issues, hereās a guide and video about that;
VFDs inherently make a lot of electromagnetic noise, especially on the output between the VFD and the motor. These cheap HY units also send a lot of noise back into the mains supply (thus the interference filter on the input which you ordered). I have a shielded cable, both foil and braid shield which is grounded at the VFD earth, it seemed like simple insurance.
Your routing of the VFD cable away from all the others is a good move, one Iād endorse even with a shielded cable.
As youāve connected the VFD to the Shapeoko controller you have the possibility of a ground loop and much harder to resolve interference due to that. Iād suggest getting the VFD to work using the control knob on the front panel and trying it without the connection to the Shapeoko. You may need to move the jumper on the board, thereās also a setting to tell the VFD to use the built in control (PD002 I believe). On mine you can turn it down to stopped so try turning the pot clockwise too.
Be careful with PD0013, you can burn out the VFD or motor with the wrong settings and the factory default may well not be ārightā for your setup.