If you want to feed them frozen full time, then that's great and very healthy for them! But if it's not something you want to do/can commit to for every single feeding, I would keep trying pellets. If you start out feeding them frozen, they'll get spoiled and never want to go to pellets! So like I said, if you're interested in long-term frozen feeding that's awesome (they'll love it!), but if you want to get them to eat pellets eventually, you may not want to introduce frozen until you've actually got them eating the pellets.
It's pretty common for new bettas to have little interest in food; they'll get hungry enough to eat eventually. If you do want to feed pellets, you could try a couple different brands, some may have more pallatability for the fish.
Your female is so cute. And I've already said it before, but your male is stunning!