I haven't heard any good explanations of why an oncologist would recommend against icing during the administration of oxaliplatin, but you should ask for details at your next meeting.

In the meantime, you could try compression socks (with your onco's approval?) to buy time while he/she researches the icing issue. Both cryotherapy and compression therapy have shown good results in various trials. Acupuncture is also said to be helpful. (Trying it myself right now.)