RMS asked me to look at this, but did not say what to do.

I can see two solutions:

1. Change the doc string to say that existing frames will not be
   affected by setting default-frame-alist, only new ones. 

2. Add a :set method that applies the frame parameters to all existing
   frames.

I think #2 could be dangerous, especially if there are any "special
purpose" (like ediff of speedbar) frames around.  

One could try to be smart about it, by only changing the current
frame, or only changing the frame is there is only one, or only
changing the frames which were not marked as "special", or whose frame
parameters were close to the old value.  However, such partial
appliances might be even more confusing.

What do you think?