Yes Snow is Colder that Tea or Hot Water, but the Calories lost are not relevant compared to how fast you will become "Combat Ineffective" from Dehydration. Inuit eat snow all the time as in there cold dry environment, they need water and the only form they have is snow.

I figure the "Don't Eat Snow" Myth came from individuals actually eating snow blocks and being told don't eat snow you will get chapped lips, which can be debilitating in the wilderness over the long-term. Then they were told to act like an Inuit and ball up a small ball of snow and suck on it. This way you cannot cool your core body temperature. Think 7/11 and Slurpee's, anyone ever die of Slurpee headache, no way, its gods way of telling you to slow down sucking on the snow lump/Slurpee. Yes Hot tea will be better and over time you will use more calories than a hot liquid, but you will become Dehydration far faster than you will lose calories.

What I think happened over time is we shortened the sentence and then over time forgot what was actually said and simply made assumptions. i have a nice case study of a guy who sucked on snow lumps for 43 days and lived to be rescued in the Himalayas. If I am thirsty and have no water I suck on a snow lump, dehydration will kill you way faster than a little low level calorie loss.