Hey Martin,
do you know the cheap relay modules with optocoupler and screw terminals that e.g. ebay is full of? The most simplest way to implement your logic would be to make that M7 via Load-1 triggers such a small relay, that in turn has its output in the line between VFD’s 11 or 12 output and the dust collector relay control input. This would mean, when M7 is on, dust collector is off (even if VFD’s RUN signal is active) (be sure that it’s the dust collector and not the spindle coolant pump 
)
Do you already have the relay for the dust collector? I use Omron G4A with its 20 A for this but many people in North America use this “IoT” relay. You would interrupt one of the control lines of this relay with such a small relay with optocoupler, which has its control input connected to Load-1, and thereby switching dust collector off.