Yes the jaycar filter is only 10A you need what you just ordered, yes you can Ground / Earth drives Etc through the Ground Plane but is not always a good practice a Ground /Earth wire is the preferred method, which connect to a Bus or Ground / Earth Stud
Yes you will need a Shielded Cable from your Spindle to the VFD Drive this will be 4 wire 3 Hot/Live and Ground / Earth Plus Shield depending on what spindle size you have as to the cable wire size you will need
Here are some snips to get you on the right track for Grounding in your cabinet, if you are using single phase there is no different than 3ph as far as Grounding goes
You can make your own Ground / Earth Bus
Mactec54