ESP32 WiFi Yes, ESP8266 No

This is an infinite looop and you’re not feeding the watchdog here. Also this code will not turn off the LED when WiFi is disconnected - it just exists the loop and does nothing. No explicit digitalWrite with LOW is done.

Just put it in loop as a check.

void loop()
{
   //most builtin LEDs on ESP8266 boards I've seen seen are *inverted*. 
   //writing LOW to them will turn the LED on. 
   //switch LOW and HIGH if needed else..
   digitalWrite(LED_BUILTIN, (WiFi.status() == WL_CONNECTED) ? LOW : HIGH);
}

Activate debug log level as show in docs by using

build_flags = -DDEBUG_ESP_CORE -DDEBUG_ESP_WIFI

then post log of the ESP8266 when it connects.