I'm no expert here, but our dog trainer friend has told us to discourage (in as much as it's possible!) our dog from eating snow. This sums up his thinking on the matter:
"Avoid letting your dog eat snow or anything else on the ground. Dangerous objects or chemicals may be hidden in the snow. Also, eating snow can cause stomach upset and even hypothermia. Always keep fresh room temperature water available at all times." [taken from AboutDogs.com]
That said, our mpoo loves zooming around in the snow chasing the frisbee or ball and digging them out. I try to keep him too busy to eat it, but I can only do so much.