While yellow snow's specific gravity and density may be higher than that of the surrounding white snow, I suspect that its other properties make it unsuitable for travel or snow angels. I believe that I am fortunate in having the ability to distinguish yellow from white easily.
Roa's theory regarding the Elven spirit of flame suggests a new possibility. What if the Elves are able to slightly melt the snow as they stand on it, then allow it to refreeze in the cold temperatures? They could then skate on a film of ice (as I saw a few enthusiastic skaters at the edge of a nearby horse farm doing yesterday). I know that I can't tell the difference between frozen and non-frozen snow visually unless I look very closely. Perhaps the difference produced by this sleight-of-hand (or, more accuratelym slight of foot) was imperceptible to the non-Elf members of the Fellowship.