I'm not seeing why what you call "the real WTF" is evidence of a problem with frequentist statistics. The fact that the hypothesis test would have given a statistically insignificant p-value whatever the actual 6 data points were just indicates that whatever the population distributions, 6 data points are simply not enough to disconfirm the null hypothesis. In fact you can see this if you look at Mann & Whitney's original paper! (See the n=3 subtable in table I, p. 52.)

I can picture someone counterarguing that this is not immediately obvious from the details of the statistical test, but I would hope that any competent statistician, frequentist or not, would be sceptical of a nonparametric comparison of means for samples of size 3!