Unfortunately loadable modules in nginx still suck. Instead of having an ABI like apache does, nginx relies on signature checking for each module. This means that your modules still need to be built at the same time you build your nginx binary. If you decide later on you want to add a new module, you still need to rebuild nginx.
Its so frustrating because it really introduces a lot of operational costs to an otherwise excellent piece of software. It was the most surprising thing about nginx since Apache has had loadable modules for a long time.
There was some discussion about this when 1.9.11 was released that suggested that loadable modules wouldn't even be all that beneficial to package mantainers[1].
[1]: https://news.ycombinator.com/item?id=11067664