They're more fun. The programming is easier (although you can get an Arduino like experience on a ESP32). They have 5V options, which make some projects easier without having to add additional components. The ESP32 API (and the Pico for that matter) are better suited professional programmers.
An Arduino is better if you're doing something and want a quick, easy, simple to program controller. It started as a way for artists to add MCUs to the projects without having to become embedded programmers.
That's like the cost of two burritos. Unless you're bricking these things on the daily why would $1 vs $40 be the deciding factor for a project that is tens of hours at a minimum?
How so? I have a product that you can buy that runs on an ESP32S3[1]. They work very well and you can even do OTA updates. Even my competitor uses an ESP32 :)
Yes, regardless if you are using a pre-certified module/parts or not you need to CE certify your product as a whole. However if you use pre-certified modules the testing is cheaper/less complicated.
I do my certification testing in China by a reputable lab which is much cheaper than doing it here in Switzerland (at least 15k USD). At a minimum expect to spend 1000-2000 USD if all goes well.
There is a workaround for CE but it's a bit of a dirty trick. If you are not expecting to sell very many and your target audience are tinkerers then you can sell your device as a kit. There must be assembly that the end user has to do but they are then the ones "putting the device into the market" and they take on that responsivity of CE. That basically means they can't sell it unless they get a CE. Such an example is https://www.clockworkpi.com/ which sell their products a kits.
peripherals are a dumpster fire. I usually have to resort to bit-bang if i want to use the peripherals in a slightly different way than intended. Way easier than figuring out all the "drivers" thing to see if it's actually possible. Also, the couldn't make a decent ADC if their life depended on that. I use them for projects that require radio and GPIO, or slow PWM, or low accuracy ADC, or screens (but only with the preapproved screen controllers)
Be a little careful on those. It depends on what you're doing. Some of them are not suited to be used with the high data rates for I2C, or I2C only at 100khz. I found out the hard way with some of the SparkFun level shifters, years back.
You need to do a little research. It will usually tell in the spec sheet. Which is why the Arduino is useful. You don't have to buy a level shifter. You don't have to read a level shifter spec sheet.
An Arduino is better if you're doing something and want a quick, easy, simple to program controller. It started as a way for artists to add MCUs to the projects without having to become embedded programmers.