For a Schwarzschild black hole, some of the wave’s energy gets scattered in various directions by the hole, and some gets absorbed, increasing the mass of the hole. For low frequency / large wavelengths, the hole has little effect on the wave; most of the energy of a plane wave continues propagating in the original direction. For high frequency / small wavelengths, absorption becomes dominant. When the wavelength is comparable to the Schwarzschild radius, scattering in various directions is significant.
The relevant (and somewhat miraculous) equation for studying this kind of physics mathematically is called the Teukolsky equation. It actually applies to fields of various spins propagating in the spacetime of a Kerr black hole. Electromagnetic fields around Schwarzschild holes are just one case to which it applies.
The mathematics is simplest for a scalar (spin 0) field and a Schwarzschild hole. This paper is an approachable introduction to this physics. Rather than dealing with the more complicated Teukolsky equation, it shows how the Klein-Gordon equation for a scalar field in a Schwarzschild spacetime reduces to a radial Schrodinger-like equation with a simple effective potential which makes the reflection (scattering) vs. transmission (absorption) somewhat intuitive.