Thanks for all the suggestions. It made a huge difference just to shorten the HV wires, and I'm also thinking I should minimize the loop area of the HV wires, is that correct?
It won't really matter much to encase the PIC in a metal box since it's the module that's the problem, as mentioned, I have other electronics nearby that I cannot risk being interfered, so if the PIC is affected, there is a good chance the other electronics are affected too.
Let's assume I want to shield the HV wires, as they seem to be the major contributer to radiated noise. To which circuit should I connect the shield? The HV modules seems to be isolating the HV side from the supply side. Would it be a possibility to let one of the HV wires be a shield to the other? I'm thinking this would cancel out the noise due to a low loop area, but I'm just brainstorming now, I don't know much about this topic.