Freeze panes is one of the very few palces in the workd where, yes you do
need to select the cell. Also make sure you remove the freeze panes prior to
trying to apply it otherwise you can run into an error.
Another place you need to actually select the cell is on conditional
formatting...
The best I could tell, Split and Freeze are basically the same thing
underneath it all, the difference being whether you can adjust the location
of the split panes or not, and FreezePanes seems to be the toggle between
those two modes.