CE certification requirements concern the sale of products in the EU. You are not allowed to import, make available or sell products that do not have a CE certification, if one is required for that kind of product. CE certification is usually just a self-declaration by the producer. If you make "Chemical Ali's colourful children's chew-toy" you have to provide a CE self-certification that e.g. certifies that you didn't use any lead-based paint, and all the other requirements for this category of product.
Enforcement of compliance would thus be via the seller, distributor, importer or producer, whichever is a EU entity and available/responsible.
Generally it would be permissible to use non-CE-certified products e.g. at home, provided you do not make them available to others, give them away or sell them. Using non-certified products can be prohibited for companies and other legal entities, usually through the safety regulations they have to obey.
What the legal consequences for a user of non-CE-certified software would be, I don't know. There will certainly be an assumption of negligence if anything goes wrong.