No, if you had a radio set purchased before the CE regulations came into force you can still use. If you bought an unapproved unit in a private sale you can use it - remember though you could still run into problems if it doesn't conform to some basic standards, probably from a smack in the mouth from an enraged fellow modeller.
You shouldn't buy a radio set without a CE mark - both for you and for anyone else trying to use a model near you. The responsibility for ensuring the set meets the regulations is the manufacturer in the case of a UK manufactured product or the importer in the case of a foreign manufactured product. They are legally obliged to ensure that the stuff they sell meets the regulations. They should provice a copy of the certificate of conformity (signed by a duly authorised officer of the company) in the product documentation - if not they must provide one on demand.
Remember, that however onerous for the manufacturer, the affixing of a CE mark guarantees the product meets all the relevant european safety and performance legislation - in the case of a radio set it ensures the set will not interfere with other modellers, mobile phones, emergency radio systems etc etc. Also that it won't burn your goolies off with excessive RF energy, or catch fire because the batteries are not setup right. Additionally, it ensures immunity from incoming interference - for instance it won't shut down if chummy next door makes a call on his mobile
At a pinch, I could dig out the relevant standards for you.....
Wom