TLDR: it's illegal to BUY it. It's illegal to USE it. Know your suppliers.
That's certainly an interesting question, in light of how the market has changed in recent years, particularly due to Amazon/eBay, but even moreso due to Amazon Fulfillment and competitors.
Over on diy.se, this is a constant vexation, because we see people buy crud like this all the time, and they need help installing it. And we find it's illegal to install, not even safe, and needs to be sent back in lieu of listed product.
The advanced nations do have a highly effective apparatus for screening and blocking dangerous goods. However, these protections are geared toward bricks-and-mortar retail. Can you count on something bought at Wickes, Redoute or Home Depot? By and large, yes.
Is it legal to export it to you?
Yes, for all practical purposes. The people selling it are in an unreachable bastion in a foreign country that would not cooperate with their extradition, and would interfere with investigation. The government knows perfectly well that the stuff is complete crud, and doing so aligns with its national policies of raising hard currency and building industrial capacity, while harming the capacity of other nations.
Is it legal for the item to be listed on Amazon or eBay?
Amazon and eBay say "Yes". Their position is that they are merely a platform which connects buyers and sellers. They surely have excellent lawyers.
Amazon is more like eBay than you might realize. Amazon opened their retail site to third party sellers. Third parties can sign up as additional sellers of a particular SKU, or write their own product listings.
Since Amazon's behavior has been unchallenged, the answer seems to be "yes".
Is it legal for Amazon to bring it into their warehousing systems?
Amazon also opened their warehousing system to third party use. That can be for companies that don't sell on Amazon... or it can be for companies that do both Amazon and off-Amazon sales; in the latter case you order elsewhere but Amazon fulfills (ships) the item. When a company both sells the item on Amazon and it ships from an Amazon warehouse, it qualifies for "Prime" shipping where Amazon offers that.
Amazon also offers "Commingling" for established SKUs. The idea is that if you have widgets in the Madrid warehouse, and I have widgets in a Warsaw warehouse... and a Madrid customer buys mine - why not ship them yours since they are all the same? I get credit for the sale and Amazon "owes you one". When you get a sale in Madrid, Amazon has one in Barcelona so they ship that one to your customer.
Commingling is great, but what happens when I inject a pallet full of those SKUs - and they're counterfeits? Amazon doesn't know the difference, and your Warsaw customer gets my counterfeit. So do Amazon's Berlin and Wroclaw customers. Amazon ships them around the network to balance the warehouses, and now my counterfeit has contaminated the supply. I'm sitting in China. Whatcha gonna do about it?
Again, Amazon has top lawyers, who have surely done their diligence. Still, the program is ambitious, and e-commerce giants break the law all the time with their ambitions.
In the US, there's the "Express Shipment" rule, which allows small orders ($800 or less) with no duty and an informal entry process. So they ship to Mexican warehouses, and then bring the items over by the truckload. Wait, how can a truckload be less than $800? Because they don't bring it over until there's an end-user customer order, and they argue "these are for individual customers". This qualifies them to breeze through customs, bypassing the quality and safety controls that prevent Home Depot from doing the exact same thing with a truckload that hasn't found customers yet.
Is it legal for you (as the end consumer) to import it?
No. The rules for Conformité Européenne are that the importer is responsible. When you as an end customer buy mail-order from China, you are the importer.
Under EU law, if you bring a CE-marked item into the EU, you are responsible for meeting the CE design standards, and doing in-house lab testing to affirm the performance of the product. By having the CE mark on the thing you imported, you are attesting to having done that.
Further, the various nations may require that a certified independent testing lab verify your testing and claims. This was historically done by national testing labs like BSI, TUV, CSA or UL. However by treaty they are largely cross-recognized: US OSHA keeps a canonical list of "Nationally (by USA) Recognized Testing Labs" (NRTLs) that every other agency and many other countries defer to.
Big Clive is probably fine, since Clive's purpose is public ridicule, not usage.
Is it legal for you to install it in your house?
Oh, heck no.
Every nation has rules as to what certifications equipment must meet to legally be installed in a building's electrical system. For instance North America's El NEC, widely adopted or copied, has 110.2:
110.2 Approval. The conductors [wires] and equipment required or permitted by this Code shall be acceptable only if approved.
"Approved" means by competent testing labs; i.e. OSHA's list of NRTLs. So no, you can't install non-approved equipment in any jurisdiction with a similar rule (and you pretty much need such a rule for inspections to have any teeth).