W7500P-S2E is a diffrent from W7500P itself.
It has application code running on W7500P and MAC address is stored at the specific area of internal Data Flash.
When W7500P-S2E is powered, it runs its code and read MAC address from the Data Flash.
And it initializes itself with network informations like MAC address, Local IP address, Subnet Mask, Gateway and so on which are read from the Data Flash.
With W7500P-S2E, you don’t need to set the MAC addres up because it will be done automatically when it is powered on. If you want to know its MAC address, then you can get it with a serial command or using its configuration tool.