What's wrong with evaluation boards in production?
One obvious problem is that evaluation boards and other demo products intended solely for the purpose of professional R&amp;D are explicitly except from all manner of conformance requirements, pretty much world-wide.
So it is quite unlikely that the manufacturer will make any guarantees about EMC, radio and similar. How do you plan to claim conformance without any such guarantees? Enlisting a test house to verify this will be vastly more expensive than anything you mention. Self-certification for CE marking etc would be highly questionable if you include some 3rd party device that you have no clue about how it performs EMC- and radio-wise.
In this specific case, it would seem that the manufacturer might make some guarantees though. https://www.espressif.com/en/support/documents/certificates. Check out if the documents apply to the countries where you plan to sell the product.