Maybe I am doing something wrong,..
Maybe. Did you create a new Tileset in the System-Tileset Editor..? I find it's often more convenient to copy an existing Tileset, as there are several parameters already in place. Try this... In a new Project, copy the Outside Tileset to an empty slot. Name it 'Ice' or similar. Change the A2 file to the Avery Ice A2 file. Change the A5 file to the Avery Ice A5 file. Change the B file to the Avery Ice B file. Now create a new Map, and Edit it to use the newly-created Ice Tileset. I've just done exactly that, and it works.
In the standard Outside Tileset (and therefore also in this new Ice Tileset...), there are already some Snow Tiles. There are also many free slots for adding snow Tiles from elsewhere, but this would imply editing the Tileset files themselves; feasible, but some find it delicate.
Try the above, and see if it works for you...