Now, I want to make sure is Arduino Nano 33 BLE Sense have the built in WIFI feature?.
No. It does not have a built-in WiFi feature, It only has built-in BLE (BlueTooth Low Energy) connectivity.
I also have the ethernet shield2, how can I connect ethernet shield 2 to Arduino Nano33 BLE Sense?
I don't have a definite answer for you on this. You do need to be careful not to expose the Nano 33 BLE to the 5 V voltage levels that are present on parts of the Ethernet Shield 2. I think it should be possible to do this though. If nobody has answered, I'll give it a try sometime this weekend when I have free time and let you know what I discover.
As for using the Ethernet library in your sketches, I did find that when I try to compile the library's WebServer example sketch for the Nano 33 BLE I get an error that seems to be caused by a name collision with the Ethernet.h file that is part of the Mbed OS core library of the Nano 33 BLE's boards platform. I was able to force the Arduino IDE to use the intended Ethernet.h file by changing this line of the sketch:
#include <Ethernet.h>
to this:
#include <EthernetServer.h>
The reason this works is because the file "EthernetServer.h" is unique to the Ethernet library. the Mbed OS core library does not contain a file of this name. So the Arduino IDE only has one choice of library to pick, the one the sketch was written for. The contents of the "EthernetServer.h" file is only this:"
https://github.com/arduino-libraries/Ethernet/blob/master/src/EthernetServer.h#include "Ethernet.h"
So there is no need to also add an #include directive for Ethernet.h to your sketch.