1000 years ago, when Baldr and Fenrir lay dying on the battlefield, Frigg offered up her soul to Nidhoggr to save them both. She then disappeared, her existence now tied to the dragon.
Frigg first reaches out to Chaos and company after the destruction of Payon. She warns them that Sarah Irine was still at large and that they should exercise caution. She then proceeds to tell Chaos who he really is and what he needs to do to set things right in the world.