I believe the review process for the ESRB costs $2500 (it's possible they have cheaper ways to do it now; I haven't kept super up-to-date with this kind of stuff), and the only reason it's really necessary for anyone is because brick-and-mortar retailers won't sell M-rated games to minors (or AO-rated games to anyone) and therefore won't sell a non-rated game. For these reasons, RPG Maker games tend not to get "rated" by the ESRB and I imagine the same is true for the PEGI.
I think it's a good policy, though, to state whether your game wouldn't be appropriate for grade-school children and/or teens, and what type of (if any) objectionable content is in there.
As a sidenote, you'll see some noncommercial games on fan sites state "ESRB Rating: Teen" or something like that. Obviously they didn't actually get this rating; they're just saying they think the content would warrant a T rating. If a commercial (or widely-released free) game tried doing this, they would get in trouble.