I honestly don't think it will be too much of a problem excavating, but the thaw in spring is going to be difficult to deal with. The clay is going to move and flow as it thaws. What you think is compacted, is not, as water from frozen groundwater mixed in clay perks up and out as it thaws and settles. It will be impossible to walk on for a while (try snowshoes) until things dry out a bit. If you decide to go for it, lay down hay at minimum, erosion mats would be best to hold everything in place as it thaws.

Right now things are very cold, and my pond has near 10" of ice. Meaning the soil, if exposed, is frozen that thick also.

Me personally would go for it, and deal with the slop in the spring with erosion mats.