I agree with your praise of EM. But hypothetical aliens might want to explore some trade-offs. The game we are playing is to find some advantage in the known physics of a medium even if we know of no practical way to create and detect those signals.

Neutrinos spring to mind: we can't work with them because they don't interact with matter. But if you had some technology that could interact with them, you would have the advantage that nothing in the natural world screens them much.

Even if that technology was much more cumbersome than radio, aliens might have special cases uses for it (e.g. for signalling to and from their secret base at the centre of the Earth).