Whoops, sorry - I was thinking of machinery.The Electrical Equipment (Safety) Regulations 1994, secrion 14(2), says: "For the purposes of this regulation a supply shall include the provision of electrical equipment by a manufacturer for use in his own premises and where a supply consists solely of such provision paragraph (1) above shall apply to the supply as if the words “and 9(1)” were omitted."
Section 9(1) - which that paragraph says does not apply in the case of self-supply - is the one that requires CE marking. The only requirement left in 14(1) is then 5(1), which requires that it is safe.