This is tied to the character’s “libertarianism” which apparently convinced Frank to believe the COVID-19 crisis is more or less some kind of plot.
Wells also hinted that it’s hard to read exactly whether or not the character truly believes that, or he’s just trying to get others around him worked up.
As an example of how the Gallaghers do lockdown, John Wells mentioned that Shameless viewers will be seeing Frank without a mask while other characters are wearing them.