There are various methods of holding shares, ETFs in a pension plan, while retaining control over the investment decisions - self-directed and self-administered pensions accomodate this. As you say, a pension fund is a tax-free investment environment that doesn't pay CGT on share disposals, nor income tax on dividends.
That said, in a majority of cases you need to be in employment or self-employment here to set up a pension vehicle and the funds transferring in would be a "pension contribution". Are you planning to have any earned income here?
While in certain circumstances it is possible to make pension contributions even though you have no earned income, this may not be advisable as some of the monies will be taxable on the way out, i.e. in retirement. You'd need to look at the tax position carefully to see would it make sense compared with simply leaving your investments outside of the pension arena entirely.