It depends on whether there is a harmonized standard for specific use or not. For example, fire dampers have a harmonized standard, so CE marking is mandatory, while fire protective materials (such as spray, boards or intumescent paints) do not have it, so CE marking is not mandatory. Of course, the manufacturers may decide to CE mark their products on a voluntary basis, provided that there are specific guide-lines called EAD. The European Assessment Document (EAD) is the documentation of the methods and criteria accepted in EOTA as being applicable for the assessment of the performance of a construction product in relation to its essential characteristics. The EAD is developed in all cases where the assessment of a construction product is not or not fully covered by a harmonized technical specification.
The resulting CE marking is called ETA (European Technical Assessment: documented assessment of the performance of a construction product, in relation to its essential characteristics)