When a creature with Gravity Pull already applied to it is frozen (via any of the several sources of freeze effects), the creature still take damage instead of its owner (that is, the Gravity Pull effect still works) but the Gravity Pull shield icon is not visible. Much like the other probable bug with Quintessence and freeze effects, it seems unlikely that we are supposed to have a Gravity Pull effect apply with no visible indication of such.
I'm thinking there may be a general class of bugs along these lines. Possibly freeze, gravity pull and immortality all give visible indications that are applied to the base graphic of the creature, but only the most recent such effect is actually seen. Thus, when a frozen creature is made immortal, we see the immortality but not the freeze (and since you can't freeze an immortal creature, you'll never see it the other way around). When a gravity pulling creature is frozen, you get the visible freeze effect but lose the gravity shield. I haven't tried casting a gravity pull effect on an already-frozen creature, so maybe that will remove the visible freeze effect and leave the gravity pull shield. Nor have I tried Gravity Pulling an immortal creature - something that you could do with Quintessence and an Armagio.