1what it saves you from
Chilled slows you down and Frozen locks you in place. Neither one kills you directly, and both get players killed constantly in the snow biome, because the enemies applying them are the same enemies hitting hard. During a Frost Legion push or a blizzard, simply continuing to move is worth an accessory slot.
the odd one out
Every other immunity accessory eventually gets folded into the Ankh Shield. This one does not, almost certainly because it comes out of Christmas presents and the shield would be impossible to finish outside December. The shield covers Chilled by itself but leaves Frozen alone, so there is still a narrow reason to keep this in a chest.