The question is if that address can be any address or it must be the same address I used to make the auction?
Yes, there is no requirement that your address be the same as the owner of the name.
In fact, you can have three different addresses:
- The "deed" owner, which can always get control of the name
- The name owner, which is the current administrator
- The address that the name resolves to (where funds are sent to, if people send funds to that name)
See the distinction between deed and name ownership in the ENS docs.
What if in the later future I want to set that name to another address?
As long as you're the owner of the ENS name, you can set the name to resolve to whatever address you want, over and over.