Why does sauce go watery after freezing?
Sauces separate when frozen for several reasons. 


If it contains vegetables, the plant cells rupture when the water in them freezes.  This means the sauce gets watery and the taste changes as the contents of the cells escape. 
With emulsions, the oil/fat microdroplets clump together when they freeze.  When you thaw the sauce, the emulsion is wrecked, giving a runny consistency.  You can defeat this by re-emulsifying as you thaw the sauce.  See How can I prevent bacon mayonnaise from splitting when above fridge temperature?
Due to colligative properties, areas of less concentrated solution will freeze first, and more concentrated solution freeze last. As the solution gradually freezes, this has the effect of concentrating dissolved thickening agents in the last regions to freeze.  When the solution thaws, the thickener isn't as evenly mixed.