No, that's both "just the chip", the chips have different peripherals. They both have the usual SPI, I2C, UART, ADC, etc., and they have their differences too.
I could just as well say "For an RP2040 to do USB you wire the RP2040 to the connector. For an ESP32 to do USB you wire the 32 to another chip, and that other chip to a connector."
It's clear to me GP has the impression that ESP32 is something more (a development board with an ESP32?) than the ESP32 "chip" itself.
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.
I could just as well say "For an RP2040 to do USB you wire the RP2040 to the connector. For an ESP32 to do USB you wire the 32 to another chip, and that other chip to a connector."
It's clear to me GP has the impression that ESP32 is something more (a development board with an ESP32?) than the ESP32 "chip" itself.