Frankie, being the son of the strongest and most influential gang in New York, was well aware of the existence of the Curtained World. The moment Vlad revealed his true nature, Frankie knew they were in serious trouble. Unbeknownst to them, they had attacked a building connected to the enigmatic and powerful figures of the Curtained World.
In the underworld, which included the mafia, gangsters, and similar organizations, they understood just how dangerous the inhabitants of the Curtained World could be. Sure, they were formidable in their own right, being the largest and most powerful gang in New York, but that was within the realm of normal human interactions. Normal people might fear them and comply due to the threat of guns, but did beings from the Curtained World, like Vampires and Mages, even bat an eye at such mundane threats? Certainly not.