Generally, using a 407 leaves the normal PMDX-424 output signals available for other purposes. It also provides isolation between the VFD and the 424 (and whatever else you can connected to the 424). This is both electrical isolation and (some) electrical noise isolation.
Some VFDs have funky ground schemes where the "gnd" is actually one of the AC lines. I don't know about your VFD, but several years ago I blew up a VFD by connecting its "gnd" to the digital ground on my breakout board. POOF!
For the cost of a PMDX-407, I wouldn't risk it.