There’s a fair amount to installing a spindle over a regular router, the BLDC Makita thread is well worth a read for an alternate option.
The standard belt driven Z axis is, IMO, not suitable for a water cooled spindle, it wasn’t designed for anything this heavy. I’ve not used the Z Plus but apparently it’s a lot better, I’m running the HDZ which has no trouble.
Once you have the spindle and VFD you have to get the coolant lines and spindle power cable to the spindle, which means upgrading the drag chains, or just add new ones to keep the noisy spindle power cable away from the Shapeoko motor and signal wiring, those drag chains were £10 per metre on eBay;
For cooling, the thing is, you just won’t use much power on the spindle, @gmack has done lots of calculating and built an excellent spreadsheet which shows that most of the time we’re only going to see a couple of hundred watts of cutting power on this class of machine. I don’t even have a cooler, just about 10 litres of water and anti-freeze in the big plastic jug and it’s not even got warm so far, but I’m in England where it’s cold. The CW-3000 is available on eBay pretty cheap and it’s a tidy little solution of pump, reservoir and a radiator all in one box which is easy to fit and wire up.
For the VFD the main thing is screened motor power cable and a noise filter for the input to the VFD or you’ll have the risk of lots of USB disconnect fun. So far as I can tell the Delta drives are pretty good and, as you say, have a manual in actual English. There’s nothing much wrong with the HuanYang except they are very aggressively built down to a price and that means cheaping out on things, you get what you pay for here.
Spindle clamp, bigger tends to be better in terms of holding the spindle straight and square, I started off with a cheap eBay spindle clamp on my AMB Kress spindle and fought with it for ages, should have got a properly machined one to start with.