LABOR BAN

I have been working in this company for barely 4 months and just recently received my visa. What are the consequences of leaving work without resigning? Am I still under probationary? Will that affect my plan to apply for a new job?

You will find it difficult or impossible to leave the country without the necessary clearance paperwork from your employer.
By leaving in such a way you will be banned from ever getting employment in the country again.

Even in freezone?

Is ur visa stamped on passport ??? Is ur contract limited or un limited ?? U can resign and come back in new job to avoid issues...otherwise u can even get ban.

No problem to work in free zone, but you need to cancel ur existing visa which can be done by ur current company. So leave in good terms with the company.