I bought a new horse and rode it back to Heljhan homestead and Frost was missing when I arrived, I think due to too many horses. How do I find Frost again?

Also my kids wont provide the option to 'keep' Sceorang the dog when I bring him to the homestead, what do i need to do?

From what I remember only one of the Dawnguard dogs can be pets, so maybe he's the wrong dog?

He'll be in the last place you were before you got your new horse.

My Frost was killed by Stormcloaks in the Defense for Whiterun.

Wrong. You can adopt any dog. I did.

You might need a different dog.

Meeko worked for me.

Frost sometimes completely disappears from the game. Sometimes he can be found again at the Black Briar Lodge where he was originally. Supposedly, the only way you get keep him is if you choose to betray Louis Letrush and keep Frost during the quest "Promises to Keep".

Regarding Sceorang, sometimes if the kids already have a pet they won't give you the option to keep another one. Additionally, there is an "invisible dog" bug when your kids have already asked to keep a dog that was never following you in the first place. You could also tell Sceorang to wait inside your home and come back later to see if the option shows up. I don't know if any of this will work, because Hearthfire is a really buggy DLC.