True. In case of CE, ensuring that CE-declared products are actually compliant is the responsibility of each EU's member state. They do this mostly on case-by-case basis - and citizens are free to report violations of conformity. So in case that e.g. my CE-labeled charger catches fire, I can report it to appropriate authority, which will then investigate and is free to fine and/or jail the manufacturer (if local) or the importer if the product is found to be non-conforming and is a safety threat.

So yeah, CE may be a self-certification stamp, but if you put one on your product, you open yourself for legal actions if your product doesn't conform to the appropriate standards. Extending this to cover networking safety aspects of devices is the minimum I hope regulators will do.