Generally speaking, extending the component tends to be done strictly to use the component. This severely limits your options in unnecessary ways in terms of design, so that your classes can't extend different classes, you can't hide the JFrame's methods causing it to be more difficult to maintain and easier to trigger unexpected bugs when using the class.
Typically the intention is strictly to use the class to draw a frame, and composition is preferred over inheritance.
That being said, subclassing should be fine when you intend your subclass to add project-specific functionality to the Frame (such as convenience methods and the like) where the subclass would be used instead of the Frame itself, but used as a frame in general, not as a view of a specific frame in the application.
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