First the legal bit;
All parts on a vehicle must meet EU Standards and be stamped as complying. Fitting a non-EU-Standard part is an offence under the Construction and Use Regulations.
Enforcement;
In reality there are very few Police Officers with the training and knowledge to spot a non-legal exhaust.
There are a few Officers who are Vehicle Examiners or Vehicle Prohibition Officers (Of which I am one) who are trained by VOSA to examine vehicles and prohibit unroadworthy vehicles from being driven until they have been put through a new MOT Test.
However there are limits to what we can see at the side of the road. For instance , if someone has drilled the internal baffles and done a neat job of putting the end back on, how can I spot that in all cases?
The offence of having a non-EU-compliant exhaust can be dealt with by means of a non-endorseable (ie no points on your licence) £30 fine.
My Advice;
1. Don't ride around with cans that say 'Not for road use'.
2. Don't buy plates with EU Numbers on and fit them to illegal exhausts (This leaves you liable to prosecution for Obstruction or even an Attempt To Pervert The Course of Justice) the penalties are much more than £30!
3. If you get a £30 Fixed Penalty just pay the fine, as it will be much cheaper than going to Court.
4. Don't take the Michael with any mods that you do and the noise you make in built up areas, bringing attention to yourself and your can.
Thanks Andy, and others, for being so very clear altogether. Worth adding to a reference archive somewhere? Any Carpe administrators about?