It does not say it is "tax free". It says the Hot Lotto lottery pays the (federal?) withholding tax.
(I have not looked to see if any state taxes lottery wins; my state does not. If your state does, I don't know if the Hot Lotto lottery would pay the state withholding.)
As you should know if you work, withholding is merely an estimated tax payment. Your actual tax might be higher or lower, depending on your individual circumstances. Generally, you cannot know until you file your tax return due in Apr of the following year.
Normally, the federal withholding rate on large gambling wins is 25%. So if the advertised jackpot is $6,310,000 (today), the lottery will actually pay out $8,413,333 (probably rounded down to an even $100 or $1000).
But don't be fooled: any other lottery would have advertised a jackpot of $8,413,333, all things being equal.
In any case, for large jackpots, you would likely pay 39.6% in federal taxes (the current max marginal rate). And that would be 39.6% of $8,413,333, the actual payout, not $6,310,000. So your total federal tax would be $3,331,680, of which the lottery paid $2,103,333.
But to reiterate, that is only a rough estimate. Your actual total federal tax might be higher or lower due to other income and deductions (as well as alternative minimum tax? I have not looked). And don't forget: that includes tax on any interest or realized investment gains of the $6,310,000 that you actually received.
PS: And the total tax estimate assumes that you hold your payout in a personal account or a pass-through trust. There are many alternatives that might reduce your total tax exposure, at least in future years if not also in the year you win. I have not looked to see if lotteries permit you to designate those alternatives as the direct recipient of the initial payout.