You had to set this withdrawal address yourself. This address should be from your wallet. You can use Freebitco.in as a wallet and shop online and something. But every time when you will want to spend these BTC, you will have to change this address to address which is given by recipient, online shop for example. It's not very convenient, so I suggest to withdraw your BTC from Freebitco.in to your personal wallet and then spend it.
I don't agree with you about inconvenience of withdrawing bitcoin from freebitco. That's really simple. You always need to change the withdraw address whether you use freebitco or any other wallet. But should withdraw bitcoin from freebitco due to security. However freebitco is an old reputable website, it's not secure to hold bitcoin there as you have not fully access to your bitcoins. Generally shouldn't rely on third parties.