Unfortunately a system of parts which are CE approved does not automatically make the System CE compliant.

I have had a specific case where I used a CE compliant radio module in a product but still had to have the product approved to the R&TTE directive. On a brighter note (?) the use of CE approved parts DOES reduce the overall system approval (ie using a CE approved Power Supply will dramatically reduce, or in some cases, remove the need for the assessment to the Low Voltage Directive