So just to be clear, as it seems the other poster is quite confused, whether waves are "physical" or not is independent of whether their traverse waves or density waves. Sound is an example of density waves. The waves at the interface between the ocean and the air are gravity waves. Both are physical.
EM waves are physical as well, they just are in the EM field itself, rather than having a medium like matter.
EM waves are physical as well, they just are in the EM field itself, rather than having a medium like matter.