Yes, you are correct, etching is an important part of chip making.
Oxidation is typically grown on the silicon because it makes very, very pure electronic grade oxide. It's possible to make oxide other ways, such as bombardment, but this is not suitable for electronic grade devices.
Etching usually comes later, after the substrate has been grown. For instance, the contacts are made by growing a layer on the substrate and then etching away the parts you don't want.
Those wells (or curves) you see in the SEM I linked were most likely done with Impact Ionization. I suppose you could etch them and then fill them back up, but I'm sure there's a reason people don't do that.
The oxide layer is not made at room temperature (that would take forever). The oxide layer I'm growing is going in a furnace at 1100 degC for about an hour. We're using a dry oxidation, which takes longer than wet oxidation, but the result is much better.
The short answer is: Yes, with modern devices being as small as they are, reliability is much, much more important than how quickly you can manufacture them.