EMI difference between Ferrite (powdered iron) and Iron
using a similarly sized piece of iron with a hole in it?


Well, the whole point about ferrites and iron powder is that the mixture is fairly non-conducting so when a wanted AC current passes through the core there are insignificant eddy current losses due to the bulk conduction. 

Think about what an AC transformer uses - it uses laminates of steel (aka a type of iron) and it does so because the laminates are largely insulated from each other by a lacquer. If a transformer used a big lump of iron or steel for a core, that core would represent a shorted turn and render the thing useless.

As frequency rises, the laminates have to get thinner to avoid greater eddy current loss and the natural progression is to use powdered iron or ferrite. Having said that, at a few MHz, most high-permeability ferrites are poor because of induced eddy current loss but that is the crux of the EMI prevention - at high frequencies there is eddy current conduction through millions of little particles and this phenomena can turn a ferrite bead into a good attenuator of unwanted frequencies.