There are various exemptions for subassemblies and other non-end-user products. Those may not always apply. However, in practice, a product that's sold in small quantities and does not in fact emit egregious electromagnetic interference is unlikely to attract enforcement attention. So a fair bit of skirting of the rules does go on.
Based on the PAL project and WiFi capability, I think the ESP8266 does emit electromagnetic radiation. Whether it's interference or a feature depends on your perspective.