It would seem to me that they don't, because it disperses the light without altering its frequency/wavelength, but I don't really know. I also don't know how well it can disperse electromagnetics other than light, though.
But why it disperses? Due to difference of wavelength of the constituents they are refracted at different angles.
If this holds for all wavelengths then it's seems logical to assume that it can also create electro magnetic waves if and only if the original wave entering prism had some component of this.
Yes, that makes sense to me, it does seems logical. But white light is light, not radio, I think. Radio and light is both electromagnetic, but different frequency.
But I don't know how opaque it may be to some wave lengths.