Set the TabIndex of the Frame next after the TabIndex of the last control before the Frame is used, then set the TabIndexes of the controls in the Frame. When the previous Control is Exited, the first control in the Frame will get its Focus set. When the last control in the Frame is Exited the next TabIndexed control on the UserForm will get the focus.

IOW, Frames are TabIndexed in order with all other Controls on the UserForm. Controls in Frames are TabIndexed separately from On-UserForm Controls.