three5x5s,
I had a frozen shoulder too. Yes, it will hurt like h*ll at first because you are moving the shoulder outside of its current range of motion. That is why they call it a frozen shoulder, you can't move it like you used to and it is "frozen" in place so to speak. I got mine after hurting my shoulder shooting a very heavy weight bow for a charity event. I just thought I pulled something and limited my movements...which resulted in a frozen shoulder over time.
Anyway, just like stretching tight muscles can hurt the PT will be painful at first but it will get easier as the shoulder loosens up. Something that I wound up doing was taking 2-3 extra strength tylenols about an hour before my PT session and it allowed me to go much farther than I could without it. Check with your physical thereapist about it before you try it. What worked fine for me might cause a problem for you.
Since the shoulder is not actually a bone on bone joint like your hip, strengthening the muscles and other connective tissues in the area will give you benefits even if you didn't have a problem. Do exactly what they tell you to do, do it every day, and keep going with it after you are "cured" as well to avoid problems in the future.
Larry