I had this problem with some CE ActiveX controls originally developed for Pocket PC, when running them on a custom platform (PDT7200, if memory serves). The reason? There are two versions of COM for Windows CE platforms, both of which ship with Platform Builder. The simple version supports in-process, MTA components only: on this version, you're only allowed to pass COINIT_MULTITHREADED to CoInitializeEx. This version doesn't support any marshalling; if your component needed it, that's your problem. You have to make your own way back to the UI thread if you need to fire an event.
The other version is known as DCOM in Platform Builder, and supports a pretty complete implementation of Distributed COM, allowing out-of-process components. This includes STAs and marshalling.
The Pocket PC uses the simple-COM implementation (at least, up to Pocket PC 2002 it does, I don't know about Windows Mobile 2003), so my (unmarked) component was fine. The PDT7200 uses the DCOM component, my component was unmarked, so it tried to look for a marshaller - and failed, because the type library wasn't registered.