Questions regarding target and RPico models adn compatibility

[revSym7]

I'm a beginner in the Raspberry Pico environment, but do you know if there're noticeable differences beetwen MCU of standard Pico and Zero-2040? I think the main difference is the size and pinout available, but I just found the RP-Zero has the "missing" IO in smaller pads below, so, are they functionally the same?
Just wonder because I want to use a Zero-2040 along ESP32 but I did not found compilation instruction for that use case and inside the code there's no detailed info about the External/Internal I2C target or any clarification of which features are enabled in each mode.
I'm assuming if I usea a Pico W or Pico 2W, both wireless and wired connection will be available, right? This also applies if I take the Pico/Zero+ESP32?, I mean, with the same binary I will be able to connect a wired gamepad and later a wireless, or shall be reprogrammed each time I want to swap connection modes?