I may be thinking of non-canonical references here, but I seem to recall that elves aren't affected by the elements like the other races are(?).
So, this quote from
The Silmarillion: Of the Flight of the Noldor:
"Therefore Feanor halted and the Noldor debated what course they should now take. But they began to suffer anguish from the cold, and the clinging mists through which no gleam of star could pierce; and many repented of the road and began to murmur, especially those that followed Fingolfin, cursing Feanor, and naming him as the cause of all the woes of the Eldar."
tells me that either the elves
were affected by the elements, or that the level of cold in Helcaraxë goes up to 11.
Any thoughts?