EMI shielding for VFD and DC PSU's for CNC controller
I would be most concerned about noise from the VFD motor wiring. That should be shielded and kept away from all other wiring. Check to see what the VFD manufacturer's literature says about electromagnetic compatibility.

I would also be concerned about proper cooling of everything in the enclosure.

I suspect that the power level of the VFD is quite a bit higher than the other components. I would recommend not putting it in the same box with other equipment without more experience. I don't think that anyone will tell you that it is easy and risk-free if your only guidance is advice provided via the internet based on a vague description or perhaps even a detailed description of the equipment and the planned arrangement.