Siege frigates are fragile as tissue paper. If the enemy has any firepower at all in the gravity well you shouldn't use them. Siege-class capital ships offer very similar bombard ability but vastly superior hull strength. If you want combat bombardment, you must go with caps.
The time to use siege frigates is when there is a planet with lots of hit points that needs taking down, but your capital ships are either needed elsewhere or don't have enough firepower to bring it down fast enough for your liking. They're a convenience unit, in other words. You cannot invest too heavily in them or else your fleet won't be strong enough.
Every siege frigate you build reduces your combat strength from what it could have been if you built combat units. Even if you do successfully "snipe" out an enemy planet, they will just recolonize it. If you don't have the military force to push their fleet back, you've only dealt some economic damage but have failed to make any tactical gains. I've experimented with siege frigates once or twice, but the bottom line is that they're so expensive and easy to counter that even if you do succeed in taking out a planet you usually can't do that much with it.
