If you install mythfrontend-0.16 (I haven't check older versions), it doens't install mythsetup. Unfortunately, it seems that you need mythsetup in order to tell the frontend the IP address of the backend.
In discussions on the mailing list, it turns out that I was trying to configure the frontend incorrectly. The right way of doing it is to modify /etc/mythtv/mysql.txt to point to the mysql server on the master backend system. All frontends use the same database, and the relevant IP address is configured on a system with a backend (and hence, the mythsetup program). I changed the status to INVALID because this is NOT A BUG.