Frost does die and doesn't respawn. He just has more health than a normal horse.
Oh, anyway, are you buying the horses? If you are, are they following you whenever you fast travel? --- I'm ballin, ballin, ballin, Jarl ballin, ballin, ballin, swag. PSN: bradeli Steam: IronticsDragonLord Gamertag: AsternGoblin6
You can brawl the guy at Riften Stables and he will let you use his horses for free. They won't count as owned so they don't always stay put...but they do respawn if killed. --- Testing: Werewolf/Follower Glitch; Armor usable with Mage Armor and hidden +25 armor/pc; Augment Ring of Necromancy
Shadowmere is really hard to get killed. Like, unless you drove him/her (there seems to be a schism) off the Throat of the World s/he'll just regen health faster than your average hostile NPC can deplete it. I'd still avoid giants though... --- To err is human, to Arr is pirate.
I lost Frost during the battle for Whiterun, was a shame I did like him. Shadowmere is good but not a patch on Arvok. You don't need to worry about him dying and needing to go back to where he respawns, you can just conjour him again.
I think their should be an option to leave horses at stables, for free if its your stable, or 100 gold if it's another stable, to stop them fast traveling into a dragon wall, I've lost two foolish horses that way, and BBQ'd another when swinging a fire weapon at a grounded dragon. --- [This signature was deleted at the request of the original poster]