They definitely have to be taught. This is not so much with words, though that comes in too at a later date. But the really crucial time is in early (preverbal) childhood and infancy. It's in how the main caregiver responds to the baby, holds it, looks at it, responds to its needs, picks it up when it cries, etc. There is a set of behaviours that is hardwired into the interaction between mother and baby that helps the nervous system to form normally, and if it is interrupted for any reason, the child's development suffers. There is a reason why so many babies died in Romanian orphanages.I'm not sure how this works. Are baby's BORN with self esteem and then taught otherwise? Or do they have to learn that they have some kind of value?
In adulthood, as you point out, it's uphill work to learn self esteem when it has been damaged in childhood. Where I can agree that we have a choice is in whether we work at it or not. Someone criticizes you. You automatically believe it and feel bad about yourself. Then the choice is, do you stay there feeling bad about yourself and acting on that, or do you get to work talking yourself out of it? It is possible to learn to pause before reacting to choose an action that feels better. But automatically letting criticism slough off you? That's unrealistic.