I guess think of free space as a transmission line, but its impedance changes depending on how much is in contact with the circuit node. Those 500 Hz PWM signals have edges, so they can have some high-frequency content.
The real question is who do you want for a customer? If you want Centrylink or Comcast then they will need the FCC certification for your blinky. Perhaps Walmart can offer it, but I'm not sure on that. If you want to offer it the way Sparkfun and Adafruit do (as development boards) then there is no need to do FCC at least until someone tells you to get it certified or they won't buy it (maybe Centrylink does want it after all).
As far as keeping those high-frequency edges from radiating EMI all you need to do is to slow them down e.g. perhaps drive the LED with a constant 15mA current source so that the long wires (which have capacitance) running to the LED are not slammed with a quick current flow that ends up radiating a lot of EM.