I think (I'm really no expert on this stuff) I've read that device itself is located just below the skull, but is connected to a relatively long and very thin electrodes (or electrode arrays) that go deep inside the brain matter.

I could be wrong, but if that's how it is - well, it's not trivial to shield a needle to prevent it acting as an antenna.

Would be great if someone who knows this stuff can tell us how it really is.