I'm guessing this is frozen fruit with NO PRESERVATIVES. Sure you can use frozen fruit, you might thaw it & then refreeze it & then thaw it again just before you let it come up to room temp for fermentation; this will help to break down cell walls & extract more juice/flavour from the fruit. Also, a dose of pectic enzyme will help to break down cell walls AND pectins, thereby helping to clear your wine; though technically it's not a fining agent.
You don't HAVE to use a straining bag to contain the fruit if you don't want to, but using a mesh bag to contain the fruit pulp really does make things easier. If you don't, some of the fruit will float, but it will all eventually sink to the bottom & become a sort of sludge, mixed in with the "lees" or settled yeast. This takes up space & actually holds a certain amount of wine that you won't be able to siphon, so you'll lose that much wine. I've done it both ways, I mostly use the bag now.