Cold air has less water content than air at room temperature.
I can't recite all the thermodynamics off the top of my head, but humidity is a function of temperature; air at higher temperatures is able to hold more water vapor (That's why you don't get any muggy winter days)
As a practical example, have you ever noticed that the air in your house is "drier" in the winter? This is because cold air (with lower water content) enters the house, and heats up. It is left with the same amount of water as when it was colder, so it's less saturated than other times of the year. Hence, it feels "drier."
As to the accumulation of ice crystals, it basically has to do with the sudden expansion of the gas. Temperature is basically a measure of the amount of energy in the system. When the gas is in the cylinder, the energy is contained to a specific volume. When the gas is released from the cylinder, we have the same amount of energy, but expanded over a larger volume, so it is colder.