Fréchet-differentiability of $\omega:U\to \bigwedge^k (\mathbb R^n)^*$ (at $x\in U$) means that a linear operator $D_x:\mathbb R^n \to \bigwedge^k (\mathbb R^n)^*$ exists so that $$\omega(x+\Delta)=\omega(x)+D_x(\Delta)+o(\Delta).$$
We'll show that the components of $D_x$ in the $\{dx^I\}_I$ basis are the derivatives of $\omega_I$, thus rendering $\omega_I$ differentiable, too.
The equation above is in $\bigwedge^k (\mathbb R^n)^*$, so we can expand all terms in the $dx^I$ basis (including $o(\Delta)$):
\begin{align}
\omega(x+\Delta)&=\omega(x)+D_x(\Delta)+o(\Delta)\\
&= \omega_I(x)dx^I + \left(D_x(\Delta)\right)_Idx^I + o(\Delta)\\
&= \left(\omega_I(x) + \left(D_x(\Delta)\right)_I + o(\Delta)\right)dx^I.\tag{1}
\end{align}
(omitting $\sum_I$ signs). Expand the left-hand side too $$\omega(x+\Delta)=\omega_I(x+\Delta)dx^I\tag{2}$$
and equate the components in front of $dx^I$ in (1) and (2):
$$\omega_I(x+\Delta)=\omega_I(x) + \left(D_x(\Delta)\right)_I + o(\Delta).$$
This is precisely the definition of differentiability of $\omega_I$ with a derivative operator $(D_x)_I$.
I hope you can do higher derivatives on your own from here on.
If you're wary about abuse of notation, keep in mind that in the vector equalities $o(\Delta)$ denotes some $\bigwedge^k(\mathbb R^n)^*$-valued function, while in the scalar equalities (from (1) onward) it is an $\mathbb R$-valued one, in both cases with $\lim_{\Delta\to 0}\frac{o(\Delta)}{\|\Delta\|}=0$.