There's no reason to think that megastructures are only achievable through slavery, but I think it's fair to say that it's a lot cheaper if you're willing to disregard the humanity of others and abuse them until you get what you want. The alternative is that you pay workers what they're worth and use enough of them that they aren't being overworked, but that eats into profits.

I think we still take plenty of risks, still do big things, and still enslave and abuse a lot of workers. It's increasingly seen for the evil it is, but that hasn't stopped it from happening. I think the biggest reason you don't see as many massive projects these days is because we've already got a ton of infrastructure in place, major technological advances are getting harder to come by as we've covered a lot of the "easy" stuff already, and the emphasis on short term/immediate profits.

When we suddenly need a massive structure to house a major sporting event like the world cup or Olympics where a small number of people are basically certain to make a fortune you'll find we're still perfectly willing to construct it on the backs and corpses of forced labor and migrant workers suffering abuse, only to abandon it afterwards until it's time to build a new one somewhere else.