> or it'd be a built in feature

It is a built in feature. People can generate wa.me URLs for their account in settings.

That is a domain owned by WhatsApp. It's not some unofficial service.

I mean in the sense you can just enter a phone number and hit "Start Chat". The URL feature is so you can embed it in your social profiles or whatever and people can message you from there. It's just really hacky to use it as a method of initiating a chat if it's not already a link you can just click on.