Ok, speculating here but remember to complete a circuit you need a complete path. If there is RFI on the outbound from the VFD, there will be RFI on the return to the VFD. The is going to absorb RFI (most I would guess) and dump it to earth. Remember part of the the VFD is a frequency manipulation, the F in RFI.
I should take an AM radio near the router to test this.
In China, as I understand it, they don't use ground (hearsay). We do in the US unless it's double insulated. Cheap .