Or consider this, user wrongfully connects the output of the Sonoff device to a lamp socket(E27 for example) and the live gets wired to the outer jacket because the user doesn't know live should always go to the center, end pin. He goes in there to change a light bulb and gets an electrical shock.
This is the most probable scenario I can think of. E27 socket is not the safest to begin with, and it's extra dangerous when used with a non-polarized plug. Yet, in countries where non-polarized plugs are used (like here), practically 100% of the lamps fall in that category, everybody have them.
Some E27 LED bulbs have had metal heatsink part connected to the thread terminal, causing the lethal voltages extend to even more user-touchable areas (large part of the bulb instead of just the thread). Authorities of course try to remove these from the market but they still do exist in the real world and must be taken into account.
Also, even without those dangerous bulbs, the threaded jacket in E27 is dangerously easily accessible to the user.
When the user knows that the light is supposed to be ON, at least they will be more careful when changing the energized bulb. When they expect the light to be off, it's a different story.
This is not about a single point of safety; E27 and non-polarized plugs are to blame, kind of. Especially their combination. But safety is not about shifting the blame.
This doesn't exactly answer whether it's required for CE marking, but
definitely do switch both poles in a device which could be connected to a non-polarized plug and which does have mains voltage outputs. IMO, it absolutely
should be required if it isn't. It's an easy and meaningful safety improvement against accidental deaths. Of course, when the voltage is only used internally in the device and the switched mains is not directly user-accessible, then it doesn't matter.
With polarized plugs, this is different, but it's easier to just design the device to work safely with both types of plugs.