Hey Charles,
for this it is always advisable to use a line filter. But the EMI that comes from the commutators over the air remains.
But as you confirmed it got better when removing the cable from the drag chain. Question: Are the cables to the steppers shielded? If not, that’s where I would start.
The motor characteristics of a so-called universal motor (commutated series-wound motor) is that it is slowed down by the load (unlike a VFD on a spindle) and the more it is slowed down, the higher the current, thus the higher the EMI it emits (see also here).