Kamster, all the frozen foods are high in proteins, which is very important for especially young fish to give them the proper growth early in life. When they get older, they still need protein, but not in such a high percentage anymore.
Frozen foods are also much easier digested than pellets or flakes, and the live versions of many frozen foods, like mosquito larvae and daphnia, are things that are usually in the fish's natural environment in the wild. While pellets and flakes, well, are not exactly roaming around naturally!
Although frozen foods shouldn't be fed as sole food source. Fish in the wild scavange over the bottom of lakes and rivers all day long and pick up plants, the live foods and whatnots. So other foods should be provided for their overall well being as well.