Adding ice to a protein shake could temporarily change the state of certain fats (i.e. from liquid to solid), but this does not change how hard it is to burn off the fat once it's in your body. Firstly, by the time fats get absorbed into the body from the digestive tract, they have likely been heated to body temperature. Secondly, regardless of the state of fat (solid, liquid, etc.), the energy required to burn it off is 9 kcal/gram.
As VPeric mentioned above, the answer to this question provides evidence against the idea that consuming cold water significantly increases caloric expenditure.
The one problem I could see with drinking an ice cold protein shake is that hot and cold drinks delay gastric emptying (slow your stomach's emptying into the intestines), which could cause problems; for example, if you drink a protein shake before working out, having it sit around in your stomach for longer could cause discomfort and the nutrients would not be available to your muscles as quickly as with a more neutral-temperature drink.