FREX is a rendering API for Minecraft mods to create content that wouldn't normally be possible.
FREX is currently only available for Fabric but a Forge version is planned.
FREX includes a built-in renderer (Pastel) that implements most of its features (except shaders) but it's possible to create a mod with a different/better implementation. Canvas is currently the only renderer that implements FREX.
Renderers and mods that use FREX (like JMX) will generally include it so you probably don't need to download and install it separately. It's listed here only for visibility.