Absolutely!Try putting your VFD outside the box your control system is in.
I did this, and it helped enormously.
I also put a LARGE dual-winding ferrite filter at the output terminals of my DC spindle PS. Now, a VFD may have more wires coming out (4?) so you will need to put all 4 through a ferrite core of some sort. That blocks the RFI from going down the cable and radiating. VERY effective. Not effective enough? Try two ferrites.
Do NOT try putting suppression capacitors on the power leads. In some cases the cap just blows (been there, done that), while in other cases the cap stops the power supply from starting up (been there, done that).
The root of the problem lies in the modern fast-switching MOSFETs used in all these supplies. 'Fast-switching' means fast transitions, which means mega-RFI. But no-one is going to go in the other direction (slow-switching), because that way lies glowing transistors and sudden smoke.
Cheers
Roger