Parts of the exteriors were filmed there but interiors and pool were sets.

Guess a way to show grandiose opulence at that time.
Interestingly a look inside the actual Wright house whose exterior was used for her house shows the film's interior shots were clearly a set. Totally different architecture as well. The exterior pool was built in 1940 so that wasn't there for the filmmakers to use.
http://www.ennishouse.org/htmls/photo_page.htm

What was deal with the huge set entrance and the organ balcony suspended over it?

Yes, you can find that info on the "House on Haunted Hill" page under Filming Locations or Trivia. Basement pool filled with acid wasn't a Wright feature though.

Isn't her house in Female the "House on Haunted Hill".

There were lots of cool scenes around the Ennis House in the film. The Art Deco fan in me was salivating at the architecture, home furniture & decor, offices, swimming pool and fashions of this movie.
Is that sweeping spiral staircase actually part of the Ennis House? It didn't look too functional since it took up a lot of space in the residence. I'm thinking it was a set made for the movie.
No two persons ever watch the same movie.

Funny, as soon as I saw those very distinctive exterior blocks on the house I thought "that looks like a Frank Lloyd Wright design I've seen before"! The movie really showcased a lot of neat design- be it the Wright, Art Deco, and beautiful period automobiles such as the Cord and Packard.