Maybe look at the ESP32 chip's datasheet? [1] This is the first sentence in it: "ESP32 is a single 2.4 GHz Wi-Fi-and-Bluetooth combo chip designed with the TSMC low-power 40 nm technology." That's the chip. Not the development board.
Modules are "just" chip + all necessary hardware to start + antenna connector/pcb antenna. Those modules don't add any functionality to the chip.
The main benefit of those modules is: it's already certified with FCC and others, so you don't have to re-certify your design for radio communication. Since RP2040 does not have a radio, this is unnecessary.
1: https://www.espressif.com/sites/default/files/documentation/...