Preheat the oven to 450°F (230°C). Spread frozen fries on a baking sheet in a single layer.
In a small bowl, mix paprika, salt, chili powder, garlic powder, onion powder, and cayenne pepper (optional).
Sprinkle over fries and toss to coat. Bake for 25-30 minutes, until crispy and golden. Remove from oven and let cool slightly.
Melt butter in a medium saucepan over medium heat. Whisk in flour to form a roux and cook for 1 minute. Slowly add milk, stirring constantly until thickened, about 3-5 minutes.
Reduce heat to low, add shredded cheddar cheese, and stir until smooth. Mix in pickled jalapeño brine and chili powder. Keep warm.
Transfer fries to a serving platter. Drizzle with warm nacho cheese sauce or serve it on the side for dipping. Garnish with extra chili powder or jalapeños if desired. Serve immediately.