Not sure what you mean when you say "harness", and why you want to break the cable multiple times.
All cables are typically individual cables for each device. 1 cable for the VFD. 1 Power + 1 encoder cable for each servo. If they are shielded properly, they can all run in the same e-chain.
The cables are usually only broken once, where they exit the control cabinet. So you have a cable from the VFD to the control cabinet connector, and from there, to the spindle. The shield needs to be properly terminated at the connector, so that it's continuous through the connector. Mactec posted some pics in another thread yesterday that showed this.