Hey Jay,
Yes, concern is justified since you have no protection as long as the ground wire from your spindle has no contact to your house grounding.
You connect it at the same point where the earth (yellow/green) wire from the spindle is connected: Somewhere at the VFD metal housing (as long as you have no metal plate). All earth wires have to be brought together in one point which ideally is the metal plate on the back of the VFD metal housing. See also the drawing here:
It shows three wires from mains wall outlet (2+PE) (upper left), metal plate with VFD and EMI filter, and shielded four wires from VFD to spindle (lower right), all with how PE and shields have to be connected.
By the way, here is an example of (nearly 
) finished VFD control cabinet:
Also I wanted to say that of course you can buy a Control Cabinet with VFD wired ready-to-use at some spindle manufacturers, e.g. here:
