It all depends on what you want the EMI filter to do
some times EMI filters are added just to get CE approval for sale in the E.U .
when a EMI filter is just after the mains inlet it will help to prevent external electrical interference entering the control box
or interference from the VFD and power supplies escaping via the mains supply
switch mode power supplies and Vfd's usually have an EMI filter built in
If you had a VFD that produce too much electrical noise at the mains input terminals then adding a EMI filter to the VFD supply may be needed
Depending on how good your mains supply is,
it may be necessary to add a transient suppressor
with varistors or VDR's (voltage dependent resistors) to clamp mains transient voltages
due to lightning strikes or the switching of very large inductive loads
John