I worry about Chinese electronics. I'd get the separate VFD because if anything goes wrong,I'll bet you won't be able to get a spare part in a few years from Grizzly. That's the way it is these days. Even Sears used to guarantee spare parts for 10 years. No more. With a separate VFD you can easily replace the box without defacing the lathe.
I bought a Jet variable speed wet grinder with built in variable speed. It worked a few hours and went dead. A few DEALERS told me those often are dead out of the box new!! After a major hassle with Jet,they sent me a new printed circuit board. When I went to install it,I found out the push on connecters were literally as thin as aluminum beer cans. Maybe thinner. When the assembly person pushed them on,they'd crack,soon losing contact. I soldered the cracked connector and the grinder worked again,till it went dead again. A friend GAVE me a Tormek wet wheel grinder,which is a much more expensive machine,so I haven't bothered to get into the Jet again. I should have soldered ALL the connecters.
Something like this shows how fragile Chinese electronic stuff is. That is why I'd opt for a separate VFD that I CAN replace down the road. If your lathe just stops working,with the built in unit,you may have some major gutting to do to get rid of it. Then,you'll have a silly looking built in speed control on your lathe that no longer works,while you reach for the VFD.