My question is about the direct sum $\mathbb{Z} \oplus \mathbb{Z}$ which is a Free Abelian group and not a free group.
The the integer lattice, or what I think is the direct sum $\mathbb{Z} \oplus \mathbb{Z}$, is known as a Free Abelian group which can have basis such as $e_{1} = (1,0), e_{2} = (0,1)$. You can check exactly what I've read here: https://en.wikipedia.org/wiki/Free_abelian_group#Integers_and_lattices
The integers $\mathbb{Z}$ are a free group with one generator and thus are a free Abelian group, yet groups that comprise of two generators are not Abelian. And again you can check what I've read here https://en.wikipedia.org/wiki/Free_group#Examples
Why is the integer lattice not also a free group with two generators $\{(1,0), (0,1)\}$ that is Abelian and with elements of the type $e_{1}^{4}e_{2}^{5}$ that equal elements such as $4e_{1}+5e_{2}$ of a Free Abelian group?
Free as in free groups means there are no relations. So a free group on two generators $a,b$ contains arbitrary words with the letters $a, b, a^{-1}, b^{-1}$ that do not contain $aa^{-1}, a^{-1}a, bb^{-1}, b^{-1}b$.
A free abelian group on $a,b$, however, always has the relation $ab=ba$, which is a relation not occurring in a free group. The two notions free and free abelian only coincide for free (abelian) groups with a single generator.
The concept of freeness comes from somewhere deeper: groups form a category. You can assign to a group its underlying bare set, that’s the forgetful functor. By definition, a free functor is a left adjoint to the forgetful functor, which for groups turns out to be the above construction. For abelian groups, however, the left adjoins to the (same) forgetful functor looks different; it’s precisely the free abelian group.