Arthas Menethil never truly chose Frostmourne, the blade chose him, whispering promises of strength until he agreed to kill his own father to wield it. What he became afterward, the Lich King sealed in armor of eternal frost, was no longer a man trying to save his people, but a curse that had long since forgotten it once had a face of its own.
The Orsimer of Wrothgar know that story better than most mortals in Tamriel, their own appearance the result of a curse none of them chose, inherited from the day Trinimac was devoured and remade into Malacath against his will.
When Arthas appeared at the heart of a storm even their harshest winters had never produced, no clan chief saw a mere invader come to spread terror.
They saw a being trapped by a curse larger than himself, exactly as their own people once were, and perhaps that alone is why they didn't raise their weapons against him right away.