I think they should.
But they don't.
I think the question is in what measure manufacturer should prevent this.
I'm certainly not a lawyer but I think that correct written warning in case you activate FCC transmission power in CE area would be enough.
In that case you are aware that you are in offense and that if you ignore that, all consequences are your resposibility.
But maybe I'm wrong.
For example, at least one of my RC control systems which I'm using for one of my RC planes simply gives you selection for power settings.
And it has CE marking and it is sold in official EU stores.