Yes it is and yes you are missing something.
The first two that you linked are simply shields with headers for the zigbee or xbee radio to plug in.
The one you just linked has no headers because it has the radio integrated into the shield.
If you bought the $32 shield , you would still have to buy the radio module (transmitter/receiver) to plug into it.
If you bought the $80 one , you would have everything you need
Connection via: 802.11b/g networks (R3 board with integrated antenna)