The notified body told me that the machinery directive applies to our device;
NBs usually get such analyses right, but not always. I assume they provided you with an explanation of their determination. Do you agree with it?
Can anyone tell me if I need to prepare two essential requirements: one for medical device directive and one for the machinery directive? Or is there a combined checklist?
Yes, two checklists. My experience is, don't combine them. The Directives differ slightly in those areas where they overlap. Better to have separate conformance stances for each.
Do I have to check the whole list of harmonized standards related to the machinery directive to our device?
I'm not sure what you mean. You have to show conformance, and standards conformance is a way to get there. But, if a standard wasn't incorporated into your product development process, I wouldn't think it would be especially likely that your device would conform to it. What would you be "checking"?