I just did some experimenting with it, and it does work... you just have to edit the mask for each frame individually. The bug lies in the fact that it appears the masks reset themselves if you do the "Launch Explorer" thing again, and the "Copy collision mask to each frame" feature doesn't appear to work.
So yeah, you could use this to make hitboxes for your player or enemy sprites, but it would take a lot of work and be quite tedious, at least until it's fixed. So until then I guess it's separate hitboxes.
I don't know what's happening with yours, though. I get the "Stub" file too, but I also get the sprite.png, mask.png, and frames.txt. Sounds like a different issue entirely.