That's why an EMI filter shunts the unwanted frequency to ground. The filter cap on the alternator is hooked to the output stud on one end, ground on the other. As you said it passes it right thru. Same with the filter cap on the coil, shunted straight to ground.

Now that is not to say that the system designed back when these cars were new is the best for an EFI swap, it's not as it was designed to prevent unwanted noise in the audio of your radio, and that's 20khz or below. However, building one to suit isn't difficult either and probably a good idea regardless of where you pick off your source voltage.

Best was to see if you have EMI issues is with a scope, but darn few people have one and less know how to use them.