Thundra and Medusa not being members of the Frightful Four in this continuity could be explained by them being driven off by Klaw's nasty attitude towards women. Also potentially crosses with Fridge Horror if he decided to kill them to stop them from joining.
The Frightful Four being renamed the Wizard's Four works on two levels. First, it allows them to hide the fact they are actually villains from the public. Secondly, it is similar to how the Fantastic Four's leader has the name Mr. Fantastic.
