This is a valid question. Someone else will likely add some additional insight, but there are a few common material options for DIY grill frame.
many have successfully used 1/4" or similar thickness mdf.
advantage of mdf is it is smooth, no splinters, no voids, smoother roundovers.
downside is in a thin frame format, it is much more fragile/ breakable than the same size frame made from a 1/4' baltic birch (or even cheaper 5mm import ply).
I personally like using a 5mm or 1/4" baltic birch frame, as it is more durable and can even be made thinner in width than the mdf. The biggest downside is more sanding for a smooth roundover.
solid wood strips such as 1/4" by 1/4" or even 1/4" by 1/2" or similar, can also be joined into a frame, instead of cutting a frame from 1 piece panel.
Parts Express and Amazon sell speaker grill frame kits. They are a little bit spendy for my brain. They assemble the same as a traditional window frame screen frame, but the frame rails have a built in countour to help with refraction.
I have a difficult time imagining how pex tube would be a viable material. It would be prone to flex/bending? and could easily be larger diameter then necessary. The flex could be mitigated, but the size and diameter would be too much for me. For that matter, I suppose wooden dowels could also serve if you really wanted a cylinder frame, but harder to join. I would avoid it though, as full-round requires greater thickness to have same structural cross-section area for strength, when compared against rectangular shape of same thickness. A thinner but wider rectangular frame seems to make more sense to me.
update: I suppose if comparing 1/4" PEX against other 1/4" material , then the thickness isnt an issue, but you would have to mitigate the natural flex of the PEX. Maybe there are rigid PEX products, but my limited exposure with PEX is that it is naturally flexible which will create some difficulty, or require additional work to make rigid.
