The balls are in your virtual bag. The issue is that WGT has chosen to allow you to play and finish a round with the same type of balls, should you run out of those balls you have to play with the free balls. You are prompted at the start of the game with the ability to edit your clubs and then as you tee off, you are warned if you are down to your last ball.
I don't think the issue is the PGA one ball rule as much as it is WGT having to select the ball for you in mid game. Since they don't want to do this, they warn you. I know it is a little annoying when you are trying to finish up a brand of balls and run out with a couple of shots to go in a round but that is the way it goes.