I think I have a section of frozen PEX inside an exterior wall. What should I do?
First the only real concern you should have here other than the ability to use your sink is that the ice has made its way to the nearest PEX connector.  What can happen is that the ice expands the PEX connector slightly and when it melts the connector is a little loose.  It could fail right away or a year later.  Not trying to put you in alarm mode but this is worst case scenario.  The actually PEX tubing handles freezing much better than copper and will be fine.  

PEX can also be ran in long lengths so it could be that the first connector is 10-20 feet away in the middle of your house and this isn't an issue at all - I don't know unless I see it.

What would I do?


If I was in let's say Atlanta or a warmer region I would probably not do much.  It will thaw and will work after that.  I would keep an eye on the area for leaks, especially first few days after it works.  To get it to thaw you try running other hot water on the same run.  This might be the bathtub.  Also you said this was for bathroom sink.  I would keep the cabinet open during cold weather.  This could change the cabinet/wall temperature by 10 F.   You could even run a space heater under the cabinet to get things going.
If I were in a colder region...  I would probably open up the drywall behind the cabinet.  I would add more insulation to the wall and possibly wrap the PEX.  This really depends on what is on the sink wall (tile or whatever) but get that PEX as close to my drywall as possible and put up a solid barrier to the outside.  Really if the PEX runs are right next to the drywall on an exterior wall it should take very severe temperatures along with you keeping the house pretty cold for them to freeze.