They should NOT be attached to the welting, that's just for looks. Maybe it adds a bit of strength too when installed over the inside frame of the window and the pinch weld but the welting should not be used as a surface for adhesion.
That's what I figured, but after you adhere the frames directly to the pinch welds, how do you get welting on there? The procedure I've read about here does not seem to conform to the FSM.