Hi George,
You have identified a poor UI design in the "Create User Frame" dialog which should be fixed and is not logical for a new user. You assume (correctly, I think), that the "Application:" list in this dialog means "What application do I want to create this frame in?" and are changing it to your application causing the "Template:" list to display no templates -- because there aren't any in your otherwise empty application. This would be a very reasonable assumption and action for a new user.
In fact, the "Application:" list allows you to pick the application that the template is in. When you select a different application, its templates are listed in the "Template:" list. Most people use the templates in Core and the one selected by default ("standard") is just an empty canvas. The new user frame itself will always be created in the application that was active when the File > New > User Frame menu button (or the new user frame minibar icon) was selected.
The easiest thing to do is just click File > New > User Frame, fill in a name for your frame (and optionally a remark) and then just click OK. You'll get an empty frame ready for your creative work!
David