With a few exceptions, those labels do not mean that the product has actually been tested or actually complies with the standard. They are a self-certification: CE means “I promise this complies with European norms”, but the entity deciding to print that on a product may not be honest. Small fly-by-night operations on the other side of the planet have little incentive to be honest.

Generally speaking, international direct-to-consumer e-commerce is a problem for trying to enforce these kinds of rules. The whole model of checks at the border works well for massive bulk shipments, which not only are few enough in number that customs have a chance of doing a proper job on them, but there's also a commercial importer taking a large financial risk on the shipment and therefore 1) having an incentive to ensure they import something safe to begin with, 2) they can be practically fined/sued by authorities if they screw up. But when you have myriad tiny operations selling direct to consumers, the consumer is the importer, and there's no local representative for the manufacturer that you can actually sue. It's effectively a quite lawless area. Being able to do direct imports is an important freedom, and this kind of laxity is inevitable, but it's understandable the EU wants to do something about the flood of poor-quality goods that are terrible for fair competition, the environment, and health and safety.