You can "set" the IP address and other variables used by tftpdnld. It will not go into the config file and will not be applied permanently, but it will set the variable in rommon and the tftpdnld process can use the address to access the server and download the IOS.
The IP address supplied for the procedure is the IP address that the router will use for itself. If the TFTP server is in a subnet that is local to the router (both router and server in the same broadcast domain and in the same subnet) then the default gateway is not needed. If the TFTP server is remote from the router (in a different subnet) then the router will forward to the configured default gateway any traffic intended for the TFTP server.
One way to think of this is that in this procedure the router is acting like an IP host. And an IP host needs a default gateway to access remote resources.