You can generate perfect band-limited sawtooth waves at 44.1khz, there are multiple techniques for doing this and most production digital synthesizers use them.
Oversampling gives you headroom for aliases for the rest of the synth that is more vulnerable to it.
Yeah, I was oversimplifying a blit, the raw waveforms are usually okay, but I distinctly remember old-school VSTs where you couldn't achieve a nice saw lead at 44.1.