Will the bones splinter?

Due to their density, beef bones are not likely to splinter. 

Is it ok to give my dog a raw bone?

The American Kennel Club recommends giving dogs raw beef bones.

Will the smoked bones go bad during shipping if not kept cold?

The main purpose for smoking the bones is to preserve them.  They are vacuum packed so air can't spoil them in the case of a shipping delay.  And they will remain fresh for several days at ambient temperatures while vacuum packed.  Or you can put them back into the freezer to keep them for longer periods.

Should I give the frozen bone to my dog, or wait for it to thaw?

You can give the frozen bone to your dog as a cold, summer chew, or you can wait for it to thaw, or somewhere in between.  Some dogs don't smell the bones well when they are completely frozen.  So you might allow the bone to thaw for 5-10 minutes if giving it cold.