1. You don't need the same frequency tuned, but if VOR/LOC AFDS mode is used, then roll guidance will differ on PFD/EADI for each pilot, which isn't desirable, if it can be avoided.
2. There are multiple reasons why Boeing doesn't recommend using VOR/LOC as a roll mode during VOR approaches. Primary one would be the fact that a large majority of 737 these days would be NG/MAX with dual GPS installation, and a large share of those will be with dual FMCs as well, so LNAV is clearly the main prize in terms of accuracy and low workload. Note that normal procedures assume all installed equipment is operative.
Second, not all VOR approaches are constructed with VOR placed at the airport. If you have a VOR approach, where you cross the VOR halfway through final approach, behaviour of the VOR/LOC mode when you cross the station might be less than ideal and it may even rever to CWS R if signal is lost for more than couple of seconds.
I agree with Banana Joe, if your Operations Manual allows the use of VOR/LOC, use it, but as with any automation, monitoring its performance is vital.