The lights-out closer is like the ace, there's probably only ten of them, so yeah, six or eight of the best teams usually have one, and then most of them still see their season end (or lose control of a series) on a blown save or in a tie game.
And there are probably only five who are consistent (let alone healthy) for the better part of five years (our own "Light Outs" Lidge being a great example of one who wasn't) so long-term planning is hard.
Regardless, there's only a few ways to have one - let a guy work his way up from the eighth (or straight from closing in the minors), let a guy take his lumps, or get one from somewhere else. Starter conversion works too but there are usually bumps there as well.
Certainly the 2009 Phillies are a less than ideal model, but Lidge had 11 blown saves out of 42 opportunities that year, while Madson blew another 6 out of 16. Didn't really matter but it certainly made for a soap opera. Today that team might have made a run at Miller or Chapman, but would that have come at the expense of Lee?