The is a possibility that your current iTunes version does not support the file format. You might want to check the iTunes help for the current list of supported file formats.
If you see an exclamation point next to your track or video in iTunes, it means the file was moved or deleted from where iTunes remembered it was saved to and that's the most common case scenario.
Lets's quickly go over how iTunes imports files from FrostWire and other sources:
FrostWire downloads files into it's default folder or a folder of your choosing - you can find where in Tools > Options. These files are saved to that folder and the FrostWire library reads the file from there.
iTunes has 2 modes in which it imports your files. In iTunes go to Preferences > Advanced. There you will see a folder in which iTunes saves all its files.
You will also see a checkbox towards the middle of the screen that says 'Copy files to iTunes Media folder when adding to library'. If that checkbox is checked when FrostWire sends files to iTunes, iTunes will copy the actual .mp3 or .m4u files into it's own folder and play your tracks from it's own folder, not FrostWire's. If you delete FrostWire's files, the files transferred to iTunes will still be there.
If that checkbox is unchecked, iTunes will only index the files coming from FrostWire, not copy them into it's own folder. That means that when you delete your media from the FrostWire folder, iTunes will not no longer have files to read from - it will know where they were, so you will see their names in iTunes, but because they are no longer there, iTunes can't play anything. It
The process is exactly the same if you import music to iTunes from other sources or transfer them manually. The process is also the same for video files.