I think (though I never really delved into the subject myself) that perhaps they aren't sold frozen for the same reasons as you mentioned - it's a touchy subject, and could be very controversial among gecko and anole owners (they might see it and decide not to buy from the seller because of it) and because it's a very specialized feeder that doesn't have a very big market. Not many people are looking for feeder lizards, there just aren't enough common species kept in captivity that need to eat lizards.