Yeah you could just say the phasing throught the ice was an exaggeration and that they did actually smash through it. Or perhaps they've mutated over the years, lot's of explanations.
I don't see how "phase through" is an exaggeration of "breaking" when the two are totally different things. People didn't exaggerate dragons breathing fire and flying. Its not like dragons just kinda roar and a few sparks come out or something and its not like they just jump really far without flapping their wings or something...
In the words of Buzz Lightyear "This isn't flying! Its falling--with
style."
People will call it what it is. Granted if you're terrified your eyes might betray you, but there is a distinctly noticeable difference between SMASHING something and "phasing" through it. You have to remember the people of TES are used to ghosts and things too, so its not like they're totally unfamiliar with the concept of incorporeal form.
End notes: Falling is falling. Flying is flying. Walking through walls is walking
through them, whereas smashing or breaking them down is different.
Also, I could see phasing through ice as being an easy thing to program. Simply give any obstacles made of ice the "ice" condition and have it so that any vampire enemy type doesn't count obstacles with the ice condition as an obstacle. Hell, NPCs glitch inside of floors, walls, doors, and ceilings often enough they could probably do it on purpose if they tried.