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I found info about CE & FCC on Espressif Forum: http://bbs.espressif.com/viewtopic.php?f=6&t=59
Chip does not need CE certificate.
Espressif Guys have used their ESP-WROOM serial module (based on ESP8266) to gain the FCC & CE certificates.
They just want to prove that products using ESP8266 could gain such certificates but do not mean who buy the chips and manufacture products do not need to gain FCC & CE again.