Yeah ... there is a certain credibility gap calling it an "EMP" shield.
That said, however, there could be some benefit....
EMP creates potentially high, damaging voltages by interacting with conductive materials. In the case of a house, you would have the various electrical/electronic devices themselves and you would have the wiring that feeds power to them.
Devices that are encased in a full metal enclosure will have the essence of a Faraday shield (albeit potentially compromised by gaps and openings), but the wiring feeding them will be exposed. In this case, the wiring could pick up an induced EMF. This, however, would be akin to the same sort of risk you get from lightning - and in the case of nearby lightning strikes, the mechanism will be practically identical. (A direct lightning strike will be pretty much mean the death of anything remotely connected.) I believe this is why they include lightning protection in their claims.
As it is, I look at it as a bit of marketing flim-flam because, let's face it, the current means of creating a dangerous EMP is limited to atmospheric detonation of a nuclear device - and if that's happening somewhere close enough to cause a damaging EMP, then I think you'll have bigger worries.