That functionality is absolutely non-trivial. There are a few WiFi cores (digital and RF) you can license but they are expensive and the analog part uses a lot of die area. If you look up die shots from the ESP chips, you see that the radio is more than half of the die.

Espressif apparently has their own WiFi implementation, which makes sense as they are a major vendor of very cheap tablet and cell phone WiFi radios. This is likely why they can offer that feature so cheaply.

Bluetooth Low Energy is way simpler BTW.

There are tons of use cases for microcontrollers without wifi. The pico chip can and is used as a auxiliary micro to other systems that have networking already. The pico w will come out later this year.

The W versions of the Pico mentioned towards the end target that use case. It's usually a couple dollars more (which is a lot at this price point).