A lot of sites require you to deposit and usually you can only withdraw to a method you used to deposit. Here in UK they will require verification (photo ID etc,) as well.
I know in the past there were some sites I played where they wouldn't let me take out freeroll winnings and there were play through requirements, not sure if this is a thing anymore, I've had no issues with the sites I play at, though the above is true regarding deposit before withdrawal. Also note there will be a minimum withdrawal amount.