The thing is, when she uses the Screw Attack, her entire body is cocooned in electricity and plasma. That's what defends her from atttacks. If she was frozen, I'm not sure a rocket would be able to penetrate the energy field.
Plus, even is she was knocked off balance, she'd still be in the air, and her suit automatically re-adjusts her balance and weight distribution during a fall. That's why she doesn't get knocked down, and why she doesn't take fall-damage.
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