Electromagnetic radiation is never actually slowed down, but the effective speed of light in a medium is more a function of a statistical averaging effect as some radiation is absorbed and re-emitted. So a wave packet that might be very narrow, representing a distant pulse, will tend to spread out as it travels through a medium. The net effect will be that the maximum of the impulse will happen further after the (undetectable) leading edge of the packet, leading to the apparent slow-down of electromagnetic radiation.

For gravitational waves the same effect will happen, as the waves pass through matter with its own stress-energy that will absorb some of the incoming radiation and re-emit it. But gravitation interaction with matter is so much weaker that it would take a significant amount of concentrated stress-energy or order to have the same effect. Sparse matter in interstellar space is too diffuse to experience tidal effects even at the small magnitudes of gravitational waves.