It is probably due to the setting "Frame Thickness = Wall Thickness". This most likely simply pulls the base wall thickness inputted and disregards any slopes. If you uncheck this option, you can set the frame thickness manually, in turn compensating for the reducing wall thickness as you go up.
Alternatively, based on your image, are you wanting your door frame to taper from top to bottom following your wall slope? Given how they are coded, I do not believe this is possible. You could try fauxing it by setting your frame width to zero then using a combination of SOEs to create a frame out of another wall.
Ling.