I just tested it on firmware 2v13, when "connectable" is no, I could really not connect.
For GPS: I don't see the connection here with electromagnetic waves or privacy.
Electromagnetic waves: Last time I checked there was no way to get the satellites to send any data.
Privacy: GPS is only enabled if an app requests it. Just tell none of your apps to use GPS and you are good. GPS defaults to disabled because it eats your battery.