I would always go for shielded cable. Troubleshooting interference is a pain in the butt just best to limit all possibilities and have a reliable machine. Don’t want it to disconnect 90% into a 6 hour carve.
I made a post regarding cable questions that may help you:
The robotics cable mentioned there is something very similar to what I went for.
I found my supplier locally. I went to a commercial electrical supplier and got VFD shielded cable.
As for cooling, they make these spindles in aircooled variants and they run just fine.
I used to do custom PC water cooling setups as part of my previous employments, often people would go absolute overkill. It was fun to make but a real waste of money.
Water cooling is orders of magnitude better than air cooling, I believe that a modest setup will be more than sufficient. Condensation is a real problem with any sub ambient (more specifically sub dew point) cooling.
I did some decent hogging out of 25mm thick aluminium block to make some brackets and ran if for about 3-4 hours. The water was only just perceptibly warm, all this and I dont even have the fans running on my radiator.
Here are some links you may find useful for setting up the VFD and if you want to add a trimpot for RPM adjustment.
VFD Settings:
http://www.halfbakedmaker.org/blog/post_id
Adding a trimpot: