Hey Mrd,
I would not suspect Daniel @PwnCNC to wire his spindle cables without PE wire, but…
…what you write here means that you grounded the spindle through the CNC machine chassis and since it makes a difference as you describe, it means that your spindle is not grounded through its PE wire. This means danger.
Have you checked that the PE wire is connected at both ends (on spindle end, to the spindle housing, and on the VFD end, to VFD ground (⏚))? And that the VFD is correctly connected to ground of your wall outlet?
PS: Also have you properly grounded your frame? See here and here on how to do that.