DC-DC converter grounding
No don't use COM. That is the common midrail (aka 0 volt) reference for the isolated output voltages +Vout and -Vout. The input voltage is applied between Vin+ and Vin-.

but what is the proper way?

Having said all that, it won't hurt the module to make the connection between COM and Vin- but, you won't have circuit isolation anymore and that's one significant reason why you might have chosen this module: -