Switching circuits are usually more efficient at lower frequencies. The goal is usually to try to get above 20KHz since most noise generated by that is inaudible to humans. For old people the limit is close to 12KHz. A young'in may complain about the high-pitched squeal from the VFD / wiring / motor coils when you don't hear it.The noise comes from the rapidly changing magnetic fields causing metal around them to vibrate.
Why? Because the IGBT's in the VFD (just like the FET's in most switching supplies) are run either fully on or fully off for minimum heat / maximum efficiency. When off there is no current flowing, so there is no heat. When fully on the devices will make very little heat. In the case of a MOSFET, the on resistance can be in the 0.01 to 0.001 ohm range. Using P=I^2R, the power dissipated is low, even if a few amps are flowing through it. With IGBT's the semiconductor junction will have a semi-fixed voltage drop somewhere in the 1-3V range. So with 10 amps flowing, it will dissipate 10-30 watts while turned on.
The current to the motor is varied by changing the ratio of on to off, not actually changing the voltage. The output frequency (5-100Hz for instance ) is generated by varying the motor current in a sine wave at 5-100Hz, by changing the on-off ratio at 20KHz.
The real problem is what happens as the switching devices (FET or IGBT) change from on to off. During that time period it is partially conducting, and just like a resistor it will dissipate lots of heat during the transition. Fortunately, the switching time is very short (IGBT's at well under a millionth of a second, FETs are somewhat faster). Why not use FET's since they seem to be better - it is because they are hard to make operate at 400+ volts, while IGBT's are easier to make for higher voltages.
The devices switch quickly, but if you are running the VFD at 20KHz, you are transitioning from on to off or off to on 40,000 times per second. 40,000 transitions at 0.5us per transition means the device is partially conducting (called linear mode) for 2 percent of the time. (20,000/1,000,000 = 0.02 = 2%). That means it is generating significant heat for 2% of the time. Reducing the switching frequency to 10KHz means it is only producing significant heat for 1% of the time, which is much easier on the device.