I had actually used EMI shielded wires - but, I think I must have had a faulty connection from shield to ground. Practically speaking, EMI shielding is hard to get right if you're not a pro. I only recently got an Oscilloscope and was able to measure what the EMI noise actually looks like on a wire. That helped a lot in getting rid of it, too. VFDs are pretty awful - the one in my machine nominally outputs 8amp,220v, 500hz power, containing that is a matter of extreme care. My previous CNC (now sold) really just didn't make any attempt and just counted on physical separation of wires and software filtering of signals.

CAN uses a differential pair which is the way to go. EMI will drive the pair in the same direction. Also used in USB, RS-485, pci-e, hdmi, etc.

You don't really have to twist them but it is best practice.