This is an internet only purchase.
Yep you have a freewheel.
Take it to a bike shop and have them take care of it...it can be a few things but it does not look good...freewheels do not normally do what yours is doing...it is threaded directly on the hub, there is no 'lock ring' as a cassette uses...it may be loose but you need the correct tool to remove it then inspect the wheel and put it back on.
It you contact Heybike customer support and they do warranty it they may send a freewheel or perhaps a new wheel or perhaps nothing...it is a roll of the dice with internet ebikes.
We work on a variety of them and not all the internet ebikes are bad but most aren't that good. There is always a tradeoff when you see a low cost ebike...generally low quality parts, crap customer service and a short life span. But I've seen them last a few years too.