Cold immunity has been reviewed and removed on a number of undead creatures. Overall, unless the creature specifically deals with cold, ice, etc, it's no longer immune (or even resistant). Unaffected creatures include undead like ice wraiths, frozen spirits, ice phantoms, frostborne liches, etc. In addition, some of the creatures were previously more susceptible to fire damage, but no longer are. Affected undead that lost cold immunity include:

zombie, night mare, rotting corpse, skeletal soldier, lesser moor wight, greater moor wight, greater mummy, nonomino, carceris, n'ecare, vaespilon, seeker, dybbuk, skeletal lord, skeletal warhorse, bone wight, shambling corpse, rotting woodsman, rotting farmhand, crazed zombie, niirsha, waern, barghest, Vvrael warlock, Vvrael witch, Vvrael destroyer, naisirc, seraceris, shadow steed, bog wraith, spectral shade, lost soul, eidolon, phantasma, spectral warrior, spectral lord, ghostly mara, darken, ghostly warrior, warrior shade, bog spectre, spectral woodsman, rotting krolvin pirate, wall guardian, deranged sentry, vourkha, baesrukha, bog wight, lich qyn'arj, banshee, wind wraith, tomb wight, arch wight, wood wight, tree spirit, elder tree spirit, warped tree spirit, Reim creatures, and Open Sea Adventurers undead pirates.

Spectral triton defenders and ethereal triton sentries are no longer immune, but are still resistant to cold damage, like all triton.

GameMaster Estild

My Ice mage says thankyou very much :).

Very cool change! Wonder if we'll be seeing some folks getting some GEFs to the tune of cold damage!

– R-man/Hammerr'