If you can keep the frostfree hosebib's working parts in heated space, you don't need an internal shutoff. If you're using a 'regular' hose bib, you need an internal shutoff AND to be able to drain the water out of the pipe to the hose bib.
Most frost free hose bibs can be damaged by freezing if you don't remove the hose when those conditions could occur...but, there are some that are designed to drain regardless of whether you leave a hose on or not. But, still, if the pipe behind it's connection is in an area that could freeze, unless you drain it, you're at risk.
While pex might not be damaged by freezing, the connections don't stretch, and you'd likely damage those if they freeze.