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.
People generally refer to the module, not the isolated chip. The modules are effectively like a chip that you solder to the board.