Not all painters, and not in all cases: See, for instance, grisalle painting. One can then sketch the highlights and shadows first, and then come in with pretty translucent pigments. When the pigment is what is expensive, it can be more economical. We know for sure many a renaissance painting and fresco was done this way, and some of us do it today.

Now, was it possible that, given the pigments available, they were better off just going with the most saturated thing they could possibly have, and then work from there? Absolutely. But the right argument here isn't that "Painters layer paint this way", but that, as the article indicates, they are unlikely to be unsophisticated artists that don't believe shadows and highlights. So the highlighting and the shading must be in the place where we can't see, because we assume they must exist.