A pressure gauge may possibly be regarded as a protective device within the meaning of Annex I, point 2.10 b.
The Directive does take account of these items of equipment but they are not safety accessories within the meaning of Article 2 paragraph 4.
They are pressure accessories within the meaning of Article 2, paragraph 5, which may be covered by CE marking for high pressure (see also PED Guideline A-05 on Article 4 on low volume-high pressure equipment).