That means their insulation is working - their double coats.
A horse's coat is like insulation in the roof of your home; if there isn't any insulation all the heat escapes thru the roof and you won't see snow on the roof.
Same with a horse. If they are healthy, have ample fur and a chance to dry out when it's freezing rain, you will see snow and ice on them meaning their body heat is not escaping.
Most important is plenty of hay NOT more grain. Don't increase their grain unless they start losing a lot of weight. Hay/forage is what horses were designed to eat so that is what their hindgut needs to keep their digestive system working properly.
Lots of water too and that does not mean snow; every winter someone on a some forum will ask if they need to give their horse water because there's plenty of snow for them to eat
They should be eating snow because they feel like NOT because it's their only source to replenish liquid in their body. They need to stay hydrated the same as we do
And while my current location is Middle Tennessee and folks might wonder "from where I speak", I lived the first 50 years of my life on the OH/PA border and was raised on a dairy farm.
So extra hay and water and throw a maximum of a tablespoon of salt in there if they're not drinking enough water, and they will be fine.
Also need to check their hooves for ice/snow packs. It can sometimes build up so much the horse can't walk. There were times up north I had to carefully take a hammer and screwdriver to get that stuff out of my horses' hooves at the end of the day.
Hope this helps