Yep, it works a lot like blue. A blue cockbird can sire blue or black offspring if bred to a black, but no black offspring of that cross will produce blue offspring down the line if bred to another black - even a sibling from the same hatch - because the blue gene has been bred out entirely.
So, did you get this as an adult bird or did you buy a single Frizzled Cochin chick from My Pet Chicken?
If you bought it as an adult or older chick, then you were deceived and deserve a refund. If you got it from My Pet Chicken, I'd still ask for a refund or credit. I went to their site to check out what they say about them and saw this irresponsible statement: "The frizzling characteristic does not breed true, so a small percentage of birds will be smooth feathered." I suppose that they could either be culling out the smooth feathered chicks (assuming they are distinguishable as day-olds - - don't know, I don't do frizzles) or breeding "frazzled" to smooth (in which case, you should not have ended up with a smooth), but most likely they would have been breeding frizzle to smooth, and that gives 50% smooth birds. I don't think any reasonable person would describe 50% as a "small percentage".