I am willing enter the dumbass territory here, but - raido waves, being electromagnetic, and light travel at the same speed. Even if there is technically a difference, it is probably insignifact for the amount of distance each would have to cover before it can effectively transmit anything.

The convenience of a radio signal is that the transmitter is much easier to point in different directions, primarily because it’s a lot smaller than a star, but also because it can (at least in theory) be pointed in directions normally blocked by other celestial bodies. Given the position and orbital physics of a solar system, it would insanely difficult to position something directly “above” or “below” the Sun, let alone something as big and technologically advanced to block enough light, at an adequate frequency, to transmit any data. While a radio transmitter can be launched into space and positioned sufficiently far from other objects in the solar system to send data into various points of space. There can even be multiple such satellites, for all sorts of directions, coupled with repeaters and everything, while we only have one star in the system.

Of course, radio also depends on the receivers, even regardless of the data transmitted, but I believe in aliens, they’ll figure something out.