I've seen it both ways at clubs to which I've belonged. None of them allow play when there is frost, of course, but some do allow play on frozen greens while others do not.
I think it is safe to say that when the greens are frozen, there is little likelihood of damage from play if only because almost nobody is willing to play anyway, and those that do play hit greens in very, very small numbers. Cold, dense air, with multiple layers of clothing and a cold, stiff body underneath isn't exactly a recipe for crisp iron play, right? Besides which most golfers who play in those conditions understand that they have to play the ball short of the green anyway; if you hit a frozen green on the fly, you may never see your ball again!