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.
That's because it's not intended to be used as a wallet. You deposit if you want to bet, you withdrawal when your done (along with your captcha earnings). And most people don't need a new address to withdrawal from the same website (imagine having to put your long address there everytime and not remembering it/not having access to it).