I've been freelance for several years now. It was a great move...especially as it allows me to focus more on technical diving activities.
If you are PADI, there's no problem with operating independently from a dive shop - you can train and certify students directly. Some other agencies, i.e. SSI, BSAC etc, require more affiliation with dive centers/dealers; for processing of certifications.
Whilst PADI 'allows' freelance instructors... IMHO they don't do a lot to support us. The shareholders are much more interested with encouraging profit-making dive centers, than weazly independents. I've had arguments over the use of logos/marketing materials, amongst other things.
On the other side... you get to run
your courses how
you want to run them. No more pressures exerted by a boss to cut-corners or speed things up. It's more personal/social...and you can develop nice mentor-student relationships with your customers. Oh yes...and no more crappy jobs in the dive center... you're a 'customer' now.
When I started out, I just negotiated some deals with LDS to host my courses. I guess this'll depend on local practices, but here in the Philippines it means that I (the instructor) dive for free, but pay for the student/s' dives, gear rental (if reqd) etc. It tends to drive the prices up, but freelancers typically work out more expensive - this is (should be) offset by running more personalized courses and smaller groups etc.
Choice of training location for confined water isn't dictated by PADI. They just specify what the water conditions should be like. However, local regulations may exert some control over training locations (commercial use of...). That's worth checking up on. I do most of my confined sessions off a tropical beach... on/around a really cool artificial reef. It's also right next to a 'floating bar'... full of beautiful girls... which makes it less boring to do the surface skills LOL.