#minecraft:freeze_immune_wearables is a tag which determines whether an item should grant immunity to freezing when equipped. In vanilla, all pieces of leather armor use this tag. When an accessory has this tag, however, it does not grant immunity to freezing when equipped. In fact, it appears that there is no way (without mixins) to make an accessory grant immunity to freezing in powder snow (there is a method to allow standing on it, but it does not appear to grant immunity to freezing). I believe this is a bug because curios respected this tag in previous versions.

Pushed version 1.2.6 for 1.21.4 that add support for such

Pushed 1.1.0-beta.22+1.21.1 which should fix this issue for 1.21.1

I will be backporting this for 1.21 coming up once I get some more changes pushed to that branch