The Ice Cloud is a normal cloud with snow falling underneath it.
When a Pygmy jumps on the Ice Cloud he freezes into a block of Ice. The Pygmy now can't bounce as high as he would if it bonced on the normal Cloud. When the Pygmy jumps to another cloud, the ice block will smash and he will return to normal. Of course, if that "other cloud" is another ice cloud, then the ice block will not break.
Avoiding ice clouds might be a good strategy if you're skilled or have the need for speed. But landing on ice clouds might be a good way to slow down, cool down, look for doodlers, or just plain laugh at the ridiculous pygmy.