Sure I do enjoy myself!
I even wear Rapha. While enjoying myself!
That said the Norwegian federation issued a stern warning a couple of years ago, stating that anyone participating in a cycling race not sanctioned by the NCF/UCI was in risk of being suspended from competition for one month. Not a very long suspension, but a suspension none the less. And this stern warning was issued towards the typical sportive, recreational cyclist, not necessarily directed at elite cyclists (who hadn't really partaken in many of the unsanctioned races).
Naturally I assume the organizers of such unsanctioned races make sure the participants are covered by insurance, or make sure to properly notify license holders that they risk a suspension and that the insurance from their UCI license could be void in such a race. At least that would be a good thing to do to limit their possible liability.
UCIs General Regulations - Forbidden races
No licence holder may participate in an event that has not been included on a national, continental or world calendar or that has not been recognised by a national federation, a continental confederation or the UCI.
A national federation may grant special exceptions for races or particular events run in its own
Licence holders may not participate in activities organised by a national federation that has been suspended, save in application of article 18.2 of the UCI constitution.
Breaches of articles 1.2.019 or 1.2.020 shall render the licence holder liable to one month's suspension and a fine of CHF 50 to 100.