I already installed a "zero phase reactor" by my VFD
even though the VFD has a built-in EMI Filter
A line reactor is usually installed between the VFD and motor, the line filter is before the VFD, so you have a good start to solving the problem. Is your VFD in a metal case (that is earth grounded)? Also, are you using 'VFD cable' between the motor and VFD? Is the VFD powered by the same circuit as your PC/controller?
If you have an oscilloscope I would suggest looking at the AC line feeding the VFD. It might be that the built in EMI filter is not enough. You can also add ferrites to your USB cable:
http://www.soigeneris.com/Ferrite_for_USB_cable-details.aspx, also take care to route the USB cable away from noisy sources like AC and stepper cables. Also, using an external power source for the SmoothStepper can help:
http://www.soigeneris.com/MeanWell_PS_05_Power_Supplies-details.aspx.
In testing I have done I found that power disturbances find their way right onto the 5V USB bus. I added a line filter before my PC/controller this combined with the external power supply helped to keep the USB SmoothStepper from being affected.