They do, but the underlying key must be able to encrypt/decrypt. And I think FROST keys cannot do that.
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Why do you think that?
Because sharing the keys works for signing, but not encryption/decryption. FROST doesn't do 2 of 5 decryptions.
It is not well known, but you can perform a collaborative ECDH with the key shares. I have an example in the @cmdcode/frost library.
Very interesting. Can you do an example with NIP-44? I'd love to get NIP-17 DMs working with FROSTR if possible.