Alternators are supposed to be shielded, since they would otherwise fail RF tests. Unless the casing of the alternator is not earthed, this should not be an issue.

Alternators generate noise if the regulator is damaged. If you ran the engine without the battery or a load connected, you could have damaged the alternator.

It is more likely your battery is going high impedance, and if it is being force charged by a "hot" alternator, then the fluid levels may be low. Check and top up with distilled watter, or have the electrolyte checked at the garage.

A suppresiion capacitor is a high voltage foil capacitor used to short circuit noisy devices such as ignition (breaker type), wiper motors, AC motors, etc. They are common at spares shops.

A power line noise filter is likely to be an in-line coil filter, installed in line with your main power feed to either the empeg or your amp. The empeg already has one built into the harness.