But no one ever uses Trick Room Frosmoth to skip the set up and why is that so?
Because Quiver Dance doesn't only raise its Speed
Quiver Dance + Ice Scales makes it an amazing Special Tank, as it already sports 125 base Special Attack and 90 base Special Defense. The main attraction of Quiver Dance, in my opinion, is to turn a potential wallbreaker into a sweeper that has the nice touch of being able to take a Special hit.
Trick Room would waste its potential, basically. It only makes Frosmoth "fast" for 5 turns, and it's stuck with very good but not incredible Special Attack. Using Trick Room prevents it from boosting with Quiver Dance, making it miss out on things that could've been KOs. Plus, if you're playing a format with Dynamaxing, it would also prevent it from being a Max Airstream sweeper.
For those reasons, Quiver Dance is just a much better strategy.
Hope this helps! :)