I think the Delphi converter in Lazarus does not fully handle frames.
If that is the case (I have not tried converting a Delphi frame project), you will have to manually create each TFrame the converted project needs (File | New | Frame), and set each frame's properties and child components manually, based on the values in the .dfm for the frame. Once you have created and saved the frames needed in your project, they will be listed when you click the TFrame Palette icon, and you can drop them on the appropriate form(s).