I think you're confusing things that are and are not modules.
Kernel modules will be located in /lib/modules/kernel version/kernel/.....
. So if you re-compile your kernel and include support for a given piece of hardware in the kernel, then your new kernel name (you should be renaming your kernel) will not have that particular module in /lib/modules/new kernel name/kernel/....
. That part you're correct in your assumption.
is not a module but simply a shell script that may or may not run at start-up. For more about this I suggest reading this.
Hope that helps