This is the internals of what is left of my original Chinese controller (including couterfeit PlanetCNC board). The filter was directly installed in the wiring between the mains and the VFD as per the VFD manufacturers guidance. The VFD used to sit in the space at the bottom left. The filter being the little chrome box with wire going into each end.
I am not an expert by any means, but I read a lot (and am sceptical of people like me claiming to be experts).