If you put the U-lock through your front wheel, someone can detach the wheel and take the rest of your bike. So why would you do such a silly thing?

Secondly, the cable is much easier to cut through than the lock. If someone has cut through the lock then they have your bike, so why would you care that the cable has come free at that point?

What you do is use the U-lock to fasten your back wheel to some solid post, putting the U-lock inside the rear triangle of the frame. That protects both the wheel and the frame, since the back wheel can't be separated from the frame while the lock is attached. You then run the cable round the front wheel and fasten it to the U-lock, so that both wheels are protected. (You could of course put the U-lock around both the back wheel and the frame if it is big enough, in case someone tries to cut through the wheel.)