A valid wallet address is like a bank account number using which you store your bitcoins and check your balances.
At SCX you will receive a wallet address.
If you would like to have a wallet outside of SCX, you can choose between different providers.
There are Hardware wallets for example:
Or there are desktop wallets or mobile wallets. For example:
Note that each wallet has its unique address or a tag with a private key that is required to restore your wallet if lost. SCX never asks your private keys. Store them in a safe place and never show anyone. Once private keys are stolen, your wallet with all the coins will be lost forever.