EMI and RFI are broadly similar, but they are worth dividing in two classes, because of differences between sources, and how they spread.
EMI is generally low frequency, driven by rectifier noise (50/60Hz plus harmonics), switching supplies (100s kHz plus harmonics), DC motor brush noise, and environmental effects like induced or direct lightning surge. It is conducted on wires.
RFI is generally high frequency, driven by switching noise (high harmonics, parasitic oscillations), arcing and sparking (brush noise, switch/relay open/closing), and transients such as EFT (electrical fast transients: produced when opening a switch/relay to a highly inductive load which causes rapid-fire sparking of the contact) and ESD. It can be conducted or radiated.
I can't quite make out the inductance of the coaxial / normal-mode / RFI filter component pictured, but I think you will find they are generally available with fairly small inductances (~µH). This is partly by necessity: as a single-ended / normal-mode / DC filter, the inductor must handle the full rated current (40A!) without saturating. (Magnetic saturation means a sharp drop in inductance, with respect to DC bias, which would limit the filter's effectiveness.)
Whereas you will find, the EMI filters generally have quite large inductors (~mH), with dual windings applied in the common mode. In fact they're better described as transformers, but they're being used for the series impedance, as you would an inductor; the fact that they're "inducting" two windings at once, is where the transformer action comes into play. Besides common mode (CMC), they are also called "current compensated chokes", as the DC/mains frequency magnetization of the two windings cancel out, assuming there's no significant leakage from the circuit to ground.
The pictured type of EMI filter also provides some differential mode (DM) filtering, but with much smaller inductances (namely, the leakage inductance between windings); this is acceptable, as much larger capacitors can be used (the line-to-line, X1/X2 rated capacitors), giving adequate cutoff frequency. (Note that the CM capacitors (line-to-ground, Y1 rated) can't be very large, lest they draw significant leakage current at mains frequency. Typically they're up to 4.7nF. This in turn mandates such high CM inductances.)
The RFI filter might also have a low to middling cutoff frequency, but its priority will be high attenuation over a broad RF frequency range. That it can be mounted into a bulkhead, also helps with shielding such frequencies -- radiation means those signals couple more easily with nearby wires, or they "don't like to stay in wires", if you will.
For AC line entry, the RFI type is likely prohibited due to its large capacitance to ground.
