(Common Mode Choke)
EMI depends on environment, and a lot of commercial power supplies fail when put in real equipment anyway*, but it's entirely possible they didn't test it at all.
*Typically, they're tested with a load resistor hanging off the output -- no common-ground capacitance, or direct grounding for that matter, only whatever antenna value the resistor (and its heatsink if applicable) contribute, which will only matter for radiated emissions. So, you can get quite different conducted results depending on what you have connected -- how much (more stuff = bigger antenna = emissions at lower frequencies), or how it's grounded (maybe grounding the output "sausage effect"s more emissions up the mains).
Typically output ripple is also tested at a 20MHz bandwidth, on wire leads into a bypass capacitor. So you might get unexpectedly high VHF-band noise from commercial supplies that otherwise seem reasonable.
Such a power supply might be filtered by putting it in a box with inlet/passthru filtering all around, but that's a lot of effort, and still doesn't address the safety issues. (Issues which could at least be minimized if a grounded chassis is used -- this allows basic insulation between primary and secondary; and perhaps the box is itself fireproof, containing any flame eruption that might occur. It still might not pass UL, but maybe it's enough peace of mind for a one-off. Or you might inspect the internals, take it apart a bit; but at that point, has your supposed cost savings actually paid off anymore? Not really.)
And yeah, I know, it's easy for me to say "do it right". I do this for a living, I could slap together and test a suitable (non-isolated) converter in a few days. That's a lot harder if you don't know SMPS, and a whole solution is very attractive.
The problem is not necessarily even anything I've laid out here -- I'm only speculating. And that's exactly the problem: you don't know, you can't know. Even if the manufacturer went through the entire process and made a respectable product, the simple fact that the seller hasn't provided such information means it's legally useless. The main thing in legal terms is, if they place the UL mark (or other NRTL, or a similar process for CE), either they're liable for infringement by placing it without license, or insurance will pay out in event of destruction caused by a recognized device. If you have insurance, consider the rare case where the unit fails, massive damage results, and they refuse to pay out because unrecognized equipment was involved -- or even just present!
And, I don't see much if any route to sue the overseas manufacturer, or even the seller (and, mind, Ali most likely has strict immunity clauses in their terms, so you're almost certainly not suing them, you have to find the seller directly), so they don't have much reason to get approvals.
(Or equally well, most of this stuff shows up on Amazon too, and they
just don't give a shit. Hm, I forget if I've heard any news about electronics like this, power supplies, or if that was some years ago much of anything popped in the news, and if anything's changed since then. I'm sure there are active court cases on the linked matter and others, and, they can stretch cases out for years before having to take action or pay remediation.)
Tim