CE mark for art works. Necessary?
An item composed entirely of CE-marked parts might be easier to certify, but does not automatically make it comply.  For example, if you combine two electronic products, each which comply with CE, but when working together their interactions either create a hazardous situation, or emit EMI in excess of permissible limits, you would not have a CE-compliant device on your hands.

You're on the right track with doing a lot of reading, because you must read the scope of the CE directives which may be relevant and determine if they apply to you.  Then you work to comply with their requirements.  

Assuming you never see more than 50V in your lamp, you may need to still at least comply with the General Product Safety Directive.  If it contains electronics which may generate electromagnetic emissions, you will also have to comply with the EMC directive as well.  The RoHS directive also likely applies, since the EU likes to be assured your electronics do not contain lead and other hazardous chemicals.