That particular product uses an LSM9DS1 MEMS IMU.
When you set the frequency, you are setting the frequency cutoff of the internal anti-aliasing filter.
There should be minimal aliasing, but the bandwidth will be limited to the 408Hz, assuming you have set the ODR (Output Data Rate) and filter to the maximum.
If you increase the ODR but set the anti-aliasing filter to a lower number, the output will roll off at a lower frequency than 408Hz.
If you have a large amount of high frequency vibration (which seems unlikely in most situations) it may come across as greatly attenuated aliased signal and/or a DC shift.
If you have no idea whatsoever what signal there is, it's probably a good idea to somehow borrow something (perhaps a calibrated piezo sensor) that will tell you what is there in the high-frequency part of the spectrum. It's possible a microphone could be of help if you can't do that. You'll need to sample at typical audio sampling frequencies, 48kHz is good, but definitely well over 20kHz to get 10kHz bandwidth.