IIRC frt files are just for model4, but FRQs are used by the default resampler and a few others. In normal UTAU usage, these will generate during the rendering process. You don't NEED to have all of them, but if you do, it speeds up the rendering process later on.
Open the OTO window. Go to edit and select multi. Select all of the files and click the initialize button in the bottom left corner.
If you're on Mac, you can already select multiple samples, and just right click on any to generate your FRQs and SPEFs.