Hello, "Free Mode" option appears on title screen after finishing the training quest in "Story Mode". You can check above (in game description) the first and last Gameplay Walkthru videos, if you desire to quickly go thru the intro quests of the story mode and unlock free mode.
P.S.: Sorry for the confusion, don't worry the question is good, feel free to ask if you have any other ;)
Cheers,
~NK