Free zones allow retail shops located inside free zone so that can be a direct sale. However, in some designated free zones there is a Customs boundary and a gate so the goods can come out only if the local importer from mainland pays the 5% duty. This is done normally by the local distributor.
Free zone companies, however, can sell services not the goods directly to a customer provided the service is rendered from free zone based office.
Set up of the free zone company has many choices and thus many costs. For a detailed comparison- you must confirm what activity of business you would like to do.