I wonder at a deliberate reason behind this mechanic, though I haven't come up with any answers myself. It's not even a big issue (well not huge), but it does raise an eyebrow here and there.
*Edit*
N.B. Immortals can still be frozen (or delayed) by shields.
Not a Bug
I'll try to explain to you -
You have freezed creature when you target it with quintessence it moves to another dimension, immaterial dimension. So it escapes from ice.
However when creature is delayed it keeps delay because time is universal, time runs through all dimensions
When Immaterial creature attacks and is affected, let's say by permafrost shield, the ice is in the same immaterial dimension as creature