I’m not sure you are correct about there being no castles in Essos. You should keep in mind that this is what a maester in the Citadel might know of the world. There actually might be castles in Essos or there once was. There could be way more settlements in Essos that are named on the map.
And your argument for not building castles doesn’t really make sense either because if you are right there isn’t an incentive to build anything including cities or walls for them.since a dragon might blow it over. In my opinion castles are a question of politics, economy and resources.