In general, "musicality" is a really pointless word. Either two things are meant by it: specific types of technique, or interpretative qualities of a performance. If you refer to the production of specific spectra, e.g. from certain finger techniques or from complex voicing, this is in large part an aspect of technique, just as raw as playing octaves or scales. If what is meant is, "here, there is rubato," or, "here, there is more variety in timbre," and then ascribing to a performance of a piece or passage the qualifier, "more musical," because of it, you are simply using a word that falsely appears to have some degree of objectivity to what is really a preference in interpretation. Of course, one can objectively speak of what the conglomerate listening audience's preferences are in interpretations at any given time/for any piece/composer, and one can objectively speak about what the audience
means by a "musical" performance, but that is of a lower order. Your example of the fingering in Mazeppa is a good example of this at work; I'm sure that what you're really getting at is that the alternating fingering facilitates more timbral variety or speed. "More timbral variety" being "good" is subjective.
Regardless, I don't think that the term "exercise" is appropriate for most pieces that are titled "etudes." However, trying to describe what every single etude ever written is, in a single sentence, is going to be a failure no matter what you say. Composers can write any sort of piece they want and then call it an etude. For instance, Debussy's 10th etude is an etude in "opposing sonorities"; I think that most people would consider sonority an aspect of "musicality," not "technique," and here we again see the blur in distinction between the two. As another example, what of Dusapin's Etudes? Or Czerny's? I think if we try to say, "Chopin's, and Debussy's, and Liszt's, and Czerny's, and Dusapin's, etudes are all meant to do/be X," whatever that 'X' is, the statement is going to be garbage. Even if you try to say that, "all of Liszt's Etudes are meant to do/be X," you will fail, or inadequately enumerate a differentiation between Liszt's etudes and music in general.