Hey Charles,
you don’t need that. What you need is line filters on devices that emit EMI through their supply line, which practically means on VFDs. VFDs and the spindle power cable are heavy sources of EMI. This is because the three-phase current that a VFD creates consists not of nice since waves. Serious VFDs are usually sold with a matching line filter. See VFD manual for matching line filter model. Spindle cables must be correctly shielded, grounded and terminated.
Be aware that a line filter is a device that has capacitors in parallel and in series with the power lines, and that these capacitors have to be Safety capacitors and to be rated with the voltage and currents rated for the VFD input (not the ratings for the output), which means, 24 A for a 230 V 2.2 kW VFD, 48 A for a 120 V 2.2 kW VFD. Otherwise you risk the line filter being a source of short-circuit on your supply circuit or of fire in your workshop (possibly after years – capacitors are aging).
Additionally you can add line filters on the other devices that could be susceptible for EMI, like the CNC controller, but usually it’s important to have line filters in front of devices that emit the EMI.
The carbon-brush commutators of routers with an universal motor are also a source of EMI, but most of it through the air, and this cannot be prevented (at least not on normal, affordable universal motors). Against this type of EMI, you shield and ground all control cables of your setup.
The second thing to get rid of EMI is to have all cables that are responsible for control signals to be shielded and grounded correctly. A stepper cable for a stepper motor with integrated stepper driver is such a signal cable and should always be shielded and earthed. Same applies to all other signal cables (CNC controller-VFD control lines, homing sensors, etc.). If they are not shielded, you risk effects of EMI emitted by routers or by badly grounded VFD/spindle setups on the controls signals, and thereby, on stepper cables, step and position errors when the CNC machine operates, and malfunction on the other signal cables.
Welcome to the forum!