Mining software does not provide you with coins.  The pool and wallet are the only things that deal with coins.  You will use mining software to contribute hashrate to a pool.  You will then withdraw coins that the hashrate contributes to from the pool to your own wallet.  There are thousands of coins, and no single wallet that will hold them all.  You are better off using the official wallet for the coin you are mining.  Depending on the pool, you also have the opportunity to mine directly to an exchange's wallet for that coin.  This keeps you from having to run dozens of wallets on your computer.  I say it depends on the pool, as exchanges don't like for you to mine directly to their wallet, but if the pool has a threshold to reach before it automatically pays out, then the "deposits" are not too frequent, and exchanges won't care about this.

If you are using one of the yiimp based pools, then you can keep the coin you are mining instead of having it convert to BTC by using the "c=XXX" parameter on the password of your batch file... where the XXX part is the short code for the coin... like c=GOA for mining and keeping Goacoin... or c=ALTCOM for AltCommunityCoin.