Is CE marking on module necessary?
By itself a radio module will be incorporated into a bigger system or product and it is the responsibility of the system designer to ce mark the product so that means ce marking isn't necessarily printed on the module. 

It's clearer when it comes to the machinery directive. Sub systems that would be incorporated into a bigger system need to be shipped with a declaration of incorporation and as such are barred (by the machinery directive) from containing a ce mark.

However, that doesn't stop some motor manufacturers selling their motors as a fully ce marked product.

There are inconsistencies in the legislation in my opinion.