Yes, the VFD is classed as a component of a PDS (power drive system. The EMC Directive, as mentioned in your manual, will apply to a PDS and therefore it will require to be installed as per instructions in the manual, cabled up and connected to the motor. Hence the CE mark on the drive is basically applying to other EU standards and the reponsibilitiy will be on you to follow the manf. instructions to ensure the PDS complies with the EMC Directive. If you ignore the instructions of installation then you will net meet the EMC Directive. As mentioned previously, the other side of the EMC Directive put the responsibility on you/end-user to know the environment it will be going into. This is where the C1, C2, C3 ...Classifications come in and these classifications will determine the level of filtering necessary.
2nd Environment is basically looking at C3 classification whereby the connection is more "industrial", i.e. isolated from the public network by a transformer (typically). If the machine you supply goes into the public, residential or light industrial environment, then you might need higher levels of filtering than the 'standard' supplied with the drive. Maybe C1 or C2 environemnt requiring Class A1 or even Class B filters.
Most people don't bother checking and get away with it but if you are doing it right, you need to understand both the environments your products will be going into and then the restrictions the VFD supplier will impose to allow compliance.
There isn't just one solution to complying with the EMC Directive for drives (EN61800-3), it really does depend on the installation environment. The greater chance the electrical system has of polluting the public electrical network, the higher the level of filtering is needed. The higher the level of filtering, the tighter controls on the installation and (usually) the cable lengths.
And another thing, EMC Directive is not just high frequency interference (RFI) it also covers Low frequency interference too (harmonics). If you are supplying this drive into a Public/residential/light industrial (i.e.shared power system) then the harmonic product standards will come into play, especially for the current rating of the drive you have indicated. EN61000-3-2 is the standard for products <16A, so be mindful of this.