Unless you use the audio outputs of your computer, it's probably not huge difference in terms of EMI/RFI. There's probably lots to debate about switching an HDD with an SSD... HDD will have mechanical noise, perhaps the motor that spins the platters will also generate EMI/RFI to other nearby components, but is probably insignificant. It is possible, but unlikely, that as a CD-ROM spins up it puts an unusual strain on the power supply or even at the power plane where the connector is at.
I think the best argument you could make is the less is more in this case. Of course the wall-wart on the USB CD-ROM would be more concern to me than the an internal cd-rom.
