Not really. Attacks against unintended emissions have been around for years, whats one more for the pile. The other thing I would question is wether or not this can actually capture and decode the signals at actual typing rates versus the hunt and peck speed demonstrated in the video...
It would probably be pretty easy to kill the EM emanating from the keyboard. If all the circuitry was surrounded by tinfoil and the cable had better shielding, it'd probably cut the radiation a lot. If anything, i'd bet its the cable that does all the radiating? I'll have to think about that one a bit.
Its totally badass though. I kinda wanna go home and build something like that. Probably harder than it looks though.