generally, for EMC purposes, higher frequencies (radiated) penetrate into an enclosure better than lower frequencies.
lower frequencies conduct better than higher frequencies into enclosures.
However, higher frequencies couple into cables of typical dimensions better than lower frequencies.
You’re right. Good RF design comes into play for EMP tolerance.
Also, not all of the electronics in an enclosure are small geometries. Probably only the digital stuff like the processors and chip sets and memory buses but the power circuitry and IO circuitry is probably larger geometries.
Anyway, it would be an interesting study to determine who susceptible our electronics is to broadband emissions.