Yes, and you can all the extension by building a single target (as described above). Building all the extensions is really easy after you have already built Slicer.
You might be able to install an extension package built by the official Slicer factory computer into Slicer that you have built yourself, but it would be hard to ensure ABI compatibility between these builds, so this is not recommended.
After your local Slicer build is completed, you can build all the extensions very easily, as described here.
You should not install all extensions - for similar reasons you should not install all apps available in the app store to your phone. There are just too many extensions, installing all of them would clutter the module list, slow things down, and experimental modules may make the application unstable.