I think everybody missed the point.
Frank was looking for love, and he found fulfillment in a 16 year old spree killer teenager. While they never consumated their love physically, they died together ala Bonnie and Clyde style. Roxy more than hinted that she was infatuated with Frank because he gave her something other than a meaningless boring home life, and Frank finally admitted he loved her when he told her she was pretty.
Its just a love story...with a body count.