Hey Tom,
For ground from CNC controller to wall outlet, this is already the third pin of the IEC power connector, so should be there. I don’t know if the PwnCNC VFD has such a connector too (looks so / here too) but that would be its connection to ground to the wall side. The PE (fourth) wire inside spindle power cable should ground the spindle to the VFD. Spindle shall not be grounded through the frame alone, but always through the motor cable and the VFD. This is important for safety.
Generally, on many CNC/spindle setups in the world you have the CNC controller and VFD in one cabinet and both are mounted and grounded on the steel mounting plate.
For the ground from the machine frame parts to controller, I would use a ground wire with a ring connector attached on one of the controller case bolts, and for the moving parts of frame, the same: Ring connectors can be attached on one of the four stepper bolts, on each stepper.
Here you can see the ring connectors I use and two choices of crimp pliers. The yellow/green ground wire I use is at least 4 mm², that means yellow ring connectors.