Recently on HN was a link to https://www.nutsvolts.com/magazine/article/low-cost-emi-pre-... that allows you to do your own pre-tests.
Also there are companies to do these pre-test measurements as a service which has the same result but is _way_ cheaper than a "certification" test.
It is cheaper to make stuff without regulations or worker rights.
But, well, that's not really the point you want to make, is it ? :)
CE is not a certification or a test, it's a self declaration.
You declare to be compliant with all relevant European regulations by marking your product CE. You could even mark your product CE without doing any tests, if you're very confident.
You also decide what tests you need to run, which of them to run in-house, and which of them to outsource.
You decide whether or not to trust components' CE marks. Or maybe retest them. It's your decision, you're liable for everything in your product.
Now, why are Chinese companies so cheap? Maybe they are very cost-efficient. Maybe they don't really test at all and just send you a fake report. Maybe they test only a small sliver of relevant things. Who knows?
The thing is: unless you know what you need to feel good about your product, price-shopping is senseless.