No they don't and they never have. I've lived my entire life among Catholic ethnics, and heard every Polish/Irish/Italian/Spanish, and Portugese slur possible over 5+ decades , both good natured and mean spirited, and never ever head anybody call someone a Fredo because he was Italian. You called someone a Fredo because he's weak and pathetic regardless of ethnicity. There never was any taboo or ethnic connotations to that term. Suggestions otherwise are ignorant or dishonest. Chris Cuomo being a dishonest moron, who knows which applies.
This wiktionary page has a good discussion.
en.wiktionary.org
Nobody there can provide any evidence that it has ever been used an ethnic slur, or that anyone ever complained it was an ethnic slur before Cuomo/Trump. There is plenty of old evidence it has been used against all sorts of ethnicities in its classic meaning, which is how Trump used it. Just because Trump is an asshole doesn't make every stupid accusation thrown at him by other assholes like Cuomo true.