It’s because zillons of frozen solid water molecules instantantaneously go to the gaseous state (water vapor) upon immersion in the heated oil. This results in explosive expansion which taken together can be very dramatic and spray oil all over the place. I always wear long sleeves, face and head protection, goggles and leather gauntlets. Most important though is to have the bird thawed and dried out.
It aint rocket science...
Like putting drops of water on the griddle to see if it is not enough.