Let me clarify. It is enough to apply vignetting to the document, new layers appear, and the frame does not stand up.
We need a screenshot of your Layers panel to see what you are doing. Did you create the custom frames in the Elements Guided Edit or did you bring them in from another source?
That's interesting now that's I've had a good look at it. Give this a try...
You can add your own frame only to the open image. And once it is added, all other image editing actions, such as vignetting for example, will affect it as well.
See my response just above this one.
Well, in fact, I was just recently consulted on how to add your own frames in Adobe Photoshop Elements.
Yes, you have to remove the gray area...
"make sure the frame layer opacity is set to 100%"
Yes, you can see.