Hey David,
On the wiring diagram of the control circuit, you see what you can attach to your VFD as input to be controlled or signaled by something, or to act as an output for controlling or signaling something. Also you find the two pins 485+ and 485- there, to which you attach pins 13 and 14 of the Onefinity’s 25-pin I/O port, this is the ModBus serial connection that allows the Onefinity Controller to talk with your VFD.
With the usual functionality that a VFD offers, you can do different things, one important thing that you already mentioned would be to e.g. switch your spindle coolant pump and dust collector on as soon as the spindle runs. This is done by attaching a relay to an open collector or optical coupler output of the VFD, which would be terminals Y1 and COM here, for this you need a small 24 V power supply like the Meanwell MDR or similar which attaches to a DIN rail that you usually have in your control cabinet. You may wonder if you can also use the Relay Outputs RO1A–RO1C for this, but you must consider the specifications of these outputs. These are often internal solid state relays which (unlike mechanical relays) require a relatively high current of at least 50–100 mA to be present by the load, otherwise they do not hold their state safely, on the other hand with 3 A these RO1A-C outputs are not rated high enough to switch your dust collector directly, so you would need an external relay anyway. For the spindle coolant pump and the dust collector, I use Omron G4A relays, but these are for being soldered into a pcb, you will better find some medium-current (30 A) 24 V relay for DIN rail which require no soldering. You could also use a consumer relay like this which also requires no soldering either. However since the open collector / optical coupler output of the VFD by principle does not provide any power, you need the small 24 V power supply anyway to drive relays, even if this consumer relay only needs less than 5 mA to be switched.