99.99% of cheap Chinese products you buy on Amazon don't actually have this testing done at all. So by doing any testing you're already way above them.
CE is all about self certification. The lab testing gives you the confidence to do this.
It can be expensive - but Chinese test labs are very affordable and do a really professional job.
There is now quite a good EU based service - https://early.smander.com/ I used them to get some advice early on (disclaimer, I know the founder).
Yeah, but those Chinese dropshippers don't have significant local presence. If they are caught doing shady stuff they'll just let their $100 letterbox company go bankrupt and start over.
You, on the other hand, would actually have to pay whatever fines some regulator charges you with, because you are physically present in a jurisdiction they can apply power to. This makes self-certification a bit of a footgun: you essentially pinky promise that you fully understood all the relevant rules and regulations, and otherwise pay what in the worst case might be a hundred-thousand-euro fine. Quite a bit of a gamble!
The main saving grace is of course that the authorities are way too busy to investigate some random guy selling a handful of devices from his kitchen. But get too successful, and some competitor might just decide to give them a little hint on exactly what part you missed because you didn't even know you had to comply with it.