LED + PWM EMC concerns
1) EMI is caused by switching currents. Look at the edge of your PWM signal, sharp, fast edges cause higher spike in current, and worse EMI issues. The frequency is pretty much irrelevant. If each LED is routed well so there is a good current path (low induction for the frequency used), there will be no issues with EMI. If you need to know how to design a good current path, I would need a lot more than this answer to explain it to you.

2) The EMI will be caused by current. Look at the current loop, check the full current path to and from every current source, which includes capacitors, ICs and the LEDs themselves.

I'm pretty sure you're over thinking this EMI issue. At low frequencies (10kHz when looking at distances of &lt;50mm) the current path is pretty predictable, as long as there is reasonable decoupling and good PCB traces, you shouldn't have an issue.