Are all electromagnetic waves considered photons? Are all electromagnetic waves considered photons? And if so, why are electrons changing energy states considered different from a simple acceleration of charged particles in (for ex.) a capacitor based radio transmitter?
 A: A radio signal is typically generated by a large large number of electrons moving in the antenna in a synchronous fashion, thus generating a huge EM wave made up of a large large number of photons in sync.  If you had a super super sensitive radio you could pick off one photon and get the radio signal for example.  Radio photons are low energy compared to visible photons, since we can see/detect even one photon we can call the EM wave a photon for simplicity, or we can call it an EM wave as well.  Its just terminology.
A: Classical electromagnetism is obtained by taking the many photon limit (i. e. the classical limit) of the corresponding quantum theory. Thinking of classical electromagnetic waves as being composed of many photons is correct, but not very useful to help you understand how radio transmitters work. That is like trying to go to a quantum mechanical picture to try and understand how to build buildings. 
A: Classically EM waves were considered to be built up of electric and magnetic waves and the moving electric field created a moving magnetic wave, and that is how in Maxwell's equations EM waves were propagating.
Now in the QM theory, the EM wave is built up of a herd of photons.
The two theories work good together, so you can consider all EM waves to consist of photons.
Now you are talking about two different cases of photon emission. First, when bound electrons move to a higher energy level as per QM, they get excited. Then when they move back to the ground level, they relax, and emit a photon. These electrons are considered stationary (not accelerating) existing around a nuclei.
Now in the other case, when in an antenna, electrons are accelerated by a changing magnetic field, these accelerating electrons emit photons. These electrons are loosely bound to the atoms' nuclei. They move from atom to atom. Their draft velocity is slow, but because the electrons are densely packed inside the metal, the speed of electricity in the antenna is close to light speed.
