Your graph is showing gradual convergence / divergence between the sensors over a period of 10-20 minutes; this points towards a thermal effect not electrical. Out of the top of my head, I see three possibilities.
If the last photo is representative of your setup, I would say that although it's out of the case, you still have the BME280 positioned very close to the LEDs, and also in the path of the airflow in/out of the case. To rule out heating caused by the LEDs, I would position it at least a good 20cm away and even put a physical barrier between it and the sculpture.
If your software samples at a different rate when the LED is on/off, this could change the amount of self-heating in the sensor.
Your graph has the LED on/off periods at fixed times of the day. That makes it correlated with human activity and sunlight. So it might be that there is more air turbulence when humans are moving around or there's more convection currents in the room when the sun is out and thatthe extra airflow dissipates more of the BME280's self-heating. The SONOFF sensor would be less sensitive to this if it's protected in a case. This would explain why the divergence between the two sensors seems to start slightly before the LEDs go off. But with only two day/night cycles on the graph there's not enough data to tell if this is a coincidence.