alt Hacker NewsSure, but that would be a benefit, I would think. Most old cars come with an AM/FM radio, most cheap phones now have FM (? I don't know about AM, don't think so) and so on. So it would be more inconspicuous to listen to a regular radio than to a special station on special hardware. You don't even have to broadcast from EU, you could probably purchase some Radio Quatar Classical Rock or something :)
Radios capable of receiving shortwave bands aren't exactly rare among normal people. They're not really "special hardware". Just owning one would not be inherently suspicious.
What would be suspicious is being in possession of the one-time pad needed to decode the messages, regardless of which media those messages are transmitted through.
For the record, "numbers stations" can be found in nearly every communication medium, including the web. The advantage of using shortwave (range, primarily) are large enough that the benefits outweigh the drawbacks.