High speed design at its core is EM, is about learning how fields behave because the circuit approximation doesn't work anymore. Knowing rules and guidelines for high speed is like learning a formula in high school, sure, it may work, but you don't how you got there, and there are many cases where it will not work. You can get by in most projects without understanding EM well, but if you want to get far at high speed and be someone who makes those guidelines (Like what you learn in grad school), knowing EM well is important.

Source: I'm a grad student who has worked on high-speed design projects, so feel free to ask me questions.

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Edit: If you want a few books, Eric Bogatin has a very good starter book, called Signal and Power Integrity simplified, which will get you some good intuition of how rules are developed, and a more advanced one about transmission line design (Which is basically most of your job as a high speed engineer). He has another book coming out soon if you're only worried about projects and not about getting into research. Hint: If you're a student, your library portal will probably already have access to ebook versions of these books.

Another very good resource for people who are already in undergrad and have some fields knowledge (Like what S-parameters are and stuff), is the samtecGeekSpeek webinar series: https://blog.samtec.com/geekspeek/#upcoming but some of these webinars are at quite a high level and some of them might not be as informative as you may think, but overall a very high-quality resource.