The single peak for each half of the 60Hz waveform for the red and yellow line inputs and the double peak on the blue look a little strange to me, but given the apparent severe flat topping of all three input voltage waveforms I cannot say it is unusual or a clear indication of a problem. Nor would it imply any bad consequences.
Certainly high harmonic distortion in the incoming voltage.
I do not know what conditions lead to a phase loss alarm on that unit. But if the same condition that led to the double peaks on the blue waveform could, if exaggerated, lead to zero current instead then I could see it causing an alarm.
OK, here is another observation: The red and yellow current peaks are essentially in phase and of roughly equal amplitude. If that waveform represents, as I expect, the current in the line conductors, corresponding to the voltage waveform on the same conductors (L1, L2, L3) then it is telling you that the bridge rectifier is essentially only conducting between L1 and L2 with little or no contribution from L3. That does seem to show the "normal" situation being disturbingly close to what it would be with the L3 connection completely open.
The only way that there could be current on the L3 line without any corresponding current on L1 or L2 would be if the input is actually wye configuration, with current flowing to the neutral or if there is a significant normal or fault current path to ground if there is no neutral.
Something is definitely wrong with the input to the VFD.
OK: More detail. Hard to be sure from the picture, but the double "blue" peaks may actually be overlapped blue and read for one and blue and yellow for the other.
Possibly one of the CTs for your power analyser is on backwards? The blue one specifically.