What does "frenzy gains effect of every rune" mean?
That is exactly what it means. Your Frenzy will have the effect of all frenzy runes, no matter which rune you choose.
However, the element of the skill will be determined by your highest %elemental damage, so keep that in mind. (I can't find a specific quote for this belt, but it works that way for all other equips that grant all rune effects)