The control 'xxx' has no parent window

I'm was trying to write a dll library in Delphi wih a function that creates an instance of a TFrame descendant and returns it. But when I imported this function in an application, every time I called it I would get an exception like "the 'xxx' control has no parent window". I'm not 100% sure, but the exception appeared in the constructor of that class when any of GUI controls was accessed.

Could you please tell me what the reason of that behaviour is? Should I just use TForm descendants instead or is there a better solution?

Thank you!