Yes you do Thaw out Puff Pastry before baking it.
You must Thaw Puff Pastry Before Baking the puff pastry or it won't bake and turn out correctly.
Thawing the Puff Pastry out allows the Pastry to become pliable without softening too much.
When Thawing the Puff Pastry Out before baking it it's best to thaw the Puff Pastry out overnight in the fridge and then it will be ready the next morning to bake.
When you don't Thaw Puff Pastry Before baking it the Puff Pastry will not hold it's shape when baked and may also fall apart.
So take the time to allow the Puff Pastry To Thaw out first and then bake it.
I once baked frozen Puff Pastry and it was a disaster and when I looked online it said to always thaw it out first which I started doing and my Puff Pastry turns out very good every time now.
When baking Puff Pastry you bake the Puff Pastry at a temperature of 400 F degrees for around 25 minutes.