Congrats on your first feeding!
Also good luck getting your ball on rats, my ball is a baby and he just turns his head at them no luck for memaybe you will have a better time with them.
If the mouse is thawed improperly and is cooked then the BP will not be able to digest and most probably regurge the meal, but i am sure this will not happen with you, if your method of thawing is water just make sure the water isn't insanely hot and don't leave it in too long, i use the pre-scent and blow drying feeding method.
I am not sure of any other dangers from frozen, maybe some would say the bacteria that builds up once thawed, but i am not sure sorry.