I used to live in NYC. When you're shipped an EZ-Pass it actually does come with an RFID blocking bag and since it's attached to the windshield with velcro it's not really a problem to block the signal. Many rental car companies use an RFID blocking box on the windshield that you have to slide open to use the EZ-Pass (which they charge you 10x the toll for the convenience).
Down here in Atlanta (where I live now) they have a similar system called the Peach Pass however it's a sticker you put on your windshield that you can't block and can't remove without destroying it. I'd say New Yorkers have the better deal.