Must mining pools use the same address?
Your address is not in the blocks being mined.  All of the coins go to the pool operator.  He then takes his cut and divides the rest among the members of the pool.  The pool usually keeps the coins in your mining account until it reaches a payout threshold or you request a manual distribution.  This is done to reduce the number of very small transactions.

So, yes, you have to trust the pool operator.  But all blocks can be viewed on the blockchain, so you can audit the results if necessary.