Solutions to fix LED light RFI/EMI?
You need an EMI choke as close to the socket as possible. The wires supplying power to the lamp are acting as transmitting antennas and radiating RFI. This also could include the house wiring in the walls.

At shortwave frequencies, the lamp itself is too small in relation to a wavelength to radiate very far, unless your shortwave receiving antenna is close to the lamps.