Common-mode filtering long LED driver cable
The 3-wire run forms a current loop. Obviously, the +12 current will return on GND, but what does Di do? Its changes of state will induce return currents on both +12 and GND whenever it toggles.
As long as the 3 wires are run together things should be ok (try to do this if you can.) This minimizes loop area, and thus, EMI. It also helps ensure a consistent impedance for Di to improve its signal integrity.
You could also consider a ferrite bead on the 3 wire run, near the source, to suppress power supply common mode noise. This will probably be more trouble than the Di pin.
You can also consider adding a series terminator on Di, to back-terminate any reflections. This benefits both EMI and signal integrity.