The manuals states that the audio produced when a track or synth is frozen, is deleted when unfrozen. IT IS NOT! I froze and unfroze a track TEN times and finished up with TEN audio files on my hard drive. The only way to get rid is to consolidate the project's audio, but that's a pain. Or am I doing something wrong?

No audio gets ever deleted in SONAR. The thawn audio clip gets deleted, but the audio stays on your HDD. Just like any/all audio deleted from the project.
 
I think this talk about deletion actually just means that you can not go back to that defrosted audio in any fluent way. You need to specifically manually locate the audio and bring it back to the project.

With the size of hard drives we have on hand these days,  this is not worth your worry. 
 
If it bugs you: 
Perform a SAVE AS to a new folder and tell Sonar to copy the audio with the project. 
All the unwanted audio is left behind in the old folder so you can delete it and use the nice shiny new folder from now on. 
 
This works well for backing up all you projects too.