Depends. If you want to make a white chicken stock, no. Put them in the cold water and gently bring the whole thing up to a boil, then immediately turn down to a simmer. As it heats up, keep checking and skimming and breaking apart the thawing pieces.
If you want to make a brown chicken stock, though, you will have to thaw the chix first. If you don't, and try to brown the pieces from the frozen state, you'll end up with a gray, steamed mess.
Three things you have to remember, whatever you do: if you want to thaw the chix, do it in the fridge where it will stay out of the danger zone. Start with cold water. And don't let the stock boil -- cook it gently. These last two will keep the scum and loose proteins from breaking up back into the stock and making it cloudy.
PS: Happy Belated Birthday! :bounce: