By melting the snow, you are raising its temperature. If you eat the snow before melting it, it is very cold (below or at freezing), and it will chill you inside, and lower your core temperature, leading to hypothermia.
When Stranded In A Snow Storm, Why Should You Melt Snow Before Ingesting It?
If you don't melt the snow, it is too clod to drink, you will lower your body temperature.