As for wiring...the shielded cable may help against interference but the proper way of getting rid of EMI would be a set of Line Reactors for input and output of the VFD. The VFD manufacturers typically recommend such reactors plus EMI filters in their manuals to protect the VFD, reduce electrical noise and losses but practically few people use them because they are not cheap (I believe about $100). I have the same Chinese water cooled spindle on a Hitachi VFD and must admit I have neither the line reactors nor shielded cable and machine is running just fine.
As for the cooling, I have a rather unconventional air-cooled solution. The cylindrical spindle body is mounted with a shroud as part of the dust collector system and no water cooling at all. I find the wet system with tubing, pump, reservoir, possible leakage and clogging rather unattractive. Not to mention the risk of having only a little o-ring between the water and 240V components. The high air speed and volume of my dust collector (although it is only 1hp) has anyway much more cooling capacity than the water trickle through the small hoses. The spindle temperature never exceeds 20 degrees F above room temperature, even running a bigger bit for long time. No problem in 3 years of use.
You can get stick-on film thermometers for the spindle from McMasterCarr (e.g. part# 59485K26)