Thanks, Jahnj,

Yes, the box itself is grounded, so no worries The worst part about wiring for me was that I had to use tweezers to get everything in place!
The kit I bought recommended two EMI filters, especially 1 to shield off the VFD, but I thought I'd use two for the sake of it. It was included in their recommended wiring scheme and as my knowledge in electronics, I thought I'd just go with what they say, they were $8 a piece.

I used a digital temperature sensor that is running on batteries, cost me $1.2 with shipping from Aliexpress. Made it all a whole lot easier

I've now managed to install my UCCNC with the license and after a lot of scratching my head the steppers now go the correct way and does what I tell them to, they acted a bit strange in the beginning. As you can see in this video they were very aggressive one direction.
https://www.youtube.com/watch?v=JqYZbyIYThI

I've also installed the VFD in UCCNC which makes it possible to control it directly through the software, by a push of a button or by an M3 command in the program. Quite neat. Still not working 100% tho'. If I set the spindle speed to 10000, the spindle varies in step between 9700 and 10300. So nothing in between. It just varies between these exact two values. I find it quite strange but I think this is due to a badly shielded breakout board or fluctuating voltages. It seems to vary depending on the load of the steppers.
I also don't get any feedback in the software of current spindle speed, I can only see that on the VFD's display. Will do some troubleshooting this weekend.

What I didn't expect installing the motors and spindle was that it was so quick. It's not complete of course, but most of the tuning I need to do when the machine is assembled, so I'll now order the rails and screws and start the assembly!
So if their shipping times are correct it should all arrive mid-January!