For some reason, I can't apply (my own) frame to the document I'm editing. For the frame to be set, I have to save the document, close it, reopen it, and only then apply the frame to it.
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?
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.