Can snow be warm? Not technically, but it does keep in heat. Snow has insulation properties, which mean that you really can be warm when covered with snow. So long as its not toughing your bare skin that is.
Take igloos. Made from thick blocks of snow, you would think that it would be frigid inside. And it will be, but not as bad as the outside air. This shelter, while never quite warm, will remain a constant temperature. And it will retain your body heat, which is why people choose to make them. Of course, if you make an igloo in a temperate zone, were the whether ranges from below freezing at night to above during the day, it is likely your igloo would melt, and the snow become water. To have successful igloo, that will keep in heat while retaining its shape, you would have to build it in an area of constant cold. For example Antarctica. In Maine MA, during mid winter, some ice fishers make igloos on the pond. While most prefer ready made tents, an igloo is still an option. And despite ice and snow being all around the fishers, they say that with a proper jacket, it is as warm as can be.
Have you ever put on all your snow gear, and fell flat backed into the snow? You immediately start to warm up, your cheeks begin to flush and you may even begin to sweat. This is the snow reflecting your heat right back at you. It helps your coat in insulating you.
Here is a merit of snow insulating qualities. There is a hotel made entirely of Ice and snow. It was an art project that took snow to a whole new fantastic level. Their slogan is “Sleep well in -5 degrees Celsius.” Well, at least you wouldn’t be sleeping with the windchill. The hotel is huge and looks like a snow castle. Itsure takes snow to a whole new level.
But what exactly makes snow a good insulator? That would be the many flakes themselves, which snow is composed of. Snow is unique and every piece is different from another. Because of this, they don't fit perfectly and air gets trapped in between the idividual spaces. This inturn, does not allow heat to pass through. It is sort of like a weather form of animal down. And there it is, snow the natural insulator.