But there is no frozen water. You can see a lot of steam being carried away by the wind and water droplets leaving trails but no ice or snow.

What happens if you do that with cold water? Also, there's no indication of the water freezing. How would you tell if the water is freezing or not once it's landed in the snow?

Yes, the only videos demonstrations involve throwing the water into the air, but nothing in this article or the Wikipedia page about the effect suggest that throwing the water is necessary for the effect to occur. I don't even know where these people got the idea to do the experiment that way. Their result is way less interesting because it can be explained by surface area.