You can use the CDReader plugin to give freedb support if you want, but it will still not allow access to a local freedb database. It does have the option to use the windows global database(cdplayer.ini) which is very convenient for compilation CDs.
I'm not convinced of the value of a local CDDB database unless you have a very poor connection or want to index it and use it in searchable form.
You need to keep it updated all the time so why not just use the online one anyway
Unfortunately CDReader was broken with the upgrade to 2.9/5 and will only access CDs from the 'Explorer' interface. I still use it for preference, and just fall back on the Winamp offering for enhanced CDs.