I think it depends on how far along towards ripening the seeds were. If they are very white and immature then the frost would probably have burst the cells and the seeds won't be any good. But if they are far enough along that they started to dehydrate and mature then there is a very good chance they won't have been damaged and will continue to ripen. Plus, don't forget that the seeds are a little better protected than the leaves and such as they are inside the pods. I'd leave them, havest when ripe, then do a germination test before storing them for the winter.

I did notice a couple of pods on the cleome that look riper than others and when i opened them, the seeds were black and seemed quite dry. Good idea about the germination test - i'll have to try that.

There's no hope for the cosmos, though - they weren't anywhere near going to seed. :(