As soon as you modify something away from the original design the CE marking is invalid.
The "modifier" then takes on the full legal responsibility of being the manufacturer of the equipment.
Now there is a significance of change aspect, however, once a design is changed, the technical file can no longer be compiled by the OEM as the machine will not be as it was when it was designed.
Also, the modifier cannot compile a technical file as they will not have access to all the information required.
CE marking is just the application of the mark, it is the process that you need to go through to be able to demonstrate that the product is in compliance with the relevant requirements is the bit that is important.
There are many routes to compliance, the main two are, design, build and verify to harmonised standards, this is the recommended route.
Design and build your way, but, if it goes wrong, you need to be able to justify every design decision made, at a level to ensure that you can prove yourself competent and innocent.
Most people follow harmonised standards (or at least they claim to).
As far as lights like this go, it's not difficult, you just build in compliance with the relevant product standard, test accordingly and record, job done, bang your CE mark on, and the rest of the required information, and knock up some instructions, but, make sure that the CE mark is geometrically correct, because if it isn't then that's an offence in itself!!!