When I ran a quick test of HTMLPANEL, using FRAME= syntax, I got links in my frame file....so it wasn't empty. One of the reasons for using HTMLPANEL is so you can divide your HTML page into "regions" or areas in which multiple procedure outputs could sit side by side. In that mode of using HTMLPANEL, I'm not sure what benefit you get from adding FRAMES into the mix, especially since the FRAME are on the web page would take real estate on the screen away from the PANELs.
However, if you do not find your answer in the notes above, this really is a question best answered by Tech Support, as they can help you find out whether you have the most current version of the HTMLPANEL tagset, and if not, they can help you find out how to download and test the most current version of the tagset. And they can help you figure out how to achieve your desired result with the tagset.