Ice play is a form of temperature play that usually involves running pieces of ice across a person's naked skin.
There are few safety issues. Broken ice can have sharp edges for a brief time after the break; these can cut. Long exposures to water ice can cause frostbite, but are rarely encountered in practice as ice peices of a sensible size will melt first. This is not true of other sorts of ice, such as dry ice (frozen carbon dioxide) or such fluids as liquid oxygen or nitrogen. All are dangerous from a frostbite viewpoint, and all are dangerous in an unventilated situation. Liquid oxygen is particularly dangerous as it increases fire risk very substantially.
In addition, for water ice (with or without coloring or other solutes) the fluids are (or should be assumed to be, as sweat will be present and it certainly is) conductive, and so electrical play and ice play don't mix well at all.