There are 2 distinctly different kinds of EMI we are talking about here.
DC EMI which is the primary (problem) for the magnetometer isn't really helped by either Aluminum or Copper and unfortunately any iron based solution acts as a source rather than a solution. (for the magnetometer anyway). And Mu Metal only works if you put the controller in it but leave the magnetometer out of it.
AC EMI, however is damped by aluminum which converts the changing field into heat (nickle also). (Copper does this as well but can also interact to produce it's own electromagnetic field).
Basically an aluminum box around the APM or PX4 would suppress AC EMI quite effectively and you would definitely want your GPS (antenna) to be outside of it.
However, for the unfortunately sensitive magnetometer, you need to reduce its surrounding DC magnetic Field (caused by power supply wiring under power) as much as possible.
For that you need to a. get the magnetometer as far away from the power supply (ESC primary) wiring as much as possible (if possible), reduce the DC power supply wiring as much as possible, twist DC power and ground wires together wherever possible and then apply the correct magnetometer offset to it for your vehicle under power.
Given the huge power consumed by some of the bigger copters (multi and traditional), I think that given the success of the APM and PX4 with no shielding it is relatively safe to say that AC EMI has not been much of an issue as far as board performance has been concerned. (With some exception relating solely to the magnetometer.)
Gary