If you check the result that is returned by connection.get() you can see that there is no frameset tag:
println document
Now, if you open the site in a browser and use development tools to look at it's html code you can see that the frameset you are looking for is a child of an iframe from source http://docs.groovy-lang.org/latest/html/gapi.
Just load the iframe url with Jsoup to get the frameset
Connection connection = Jsoup.connect('http://docs.groovy-lang.org/latest/html/gapi')
Document document = connection.get()
Elements element = document.getElementsByTag('frameset')
element.each { println it }
Or if you do not want to hardcode the iframe source url to parse, look at this SO answer on how to get the source url