It's the problem of the agent or distributor in the EU.
I'm not clear how personal imports are affected. The legislation seems to imfer that they expect all affected imported equipment to be sold by a distributor or agent.
You could have it tested for compliance but that'll cost you many thousands.
The law says it can't be sold (in the EU) if it's non-compliant. If it's bought outside the EU I don't see how it can be controlled.
What sort of "device"? If it's a "component" rather than a completed "product", then it may fall outside of the scope of the directives, and would not need (and should not have) a CE mark. In general, if the safety cannot be assessed without regard to the application, then it's out of scope.
Also, certain devices are excluded from the various CE-marking directives.
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If it should be CE-marked but isn't, I have no idea where the responsibility lies. I can't find this mentioned in the relevant documents. They mostly refer to someone "placing on the market", which is probably covered under more general trade legislation.
If you're selling to a business, it probably isn't your responsibility (if they intend to export the item out of the EEA, there's no need for a CE mark).
If you're selling to a consumer, it may be your responsibility. Consumer protection and contract law normally consider the sale to have occured "in" the territory where the consumer resides; conformance may or may not be handled similarly.
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