I would assume that the ESP32 does not have a "built-in" MAC address:
- That's for bigger, full-module, networking devices. Not mere chips (yeah, the ESP32 usually comes as "modules", but there is still essentially no place for a unique MAC address to be stored.
- Not having a built-in MAC address more easily allows the vendor of "larger" products using the chipset to specify their own MAC address.
(Hmm. The technical reference manual does say that there is one-time-writeable "EFUSE" data that is supposed to include a MAC address. I don't know what, if anything, uses that data.)