Yeah, as for OP's question: It's never been answered.
There's an easier explanation:
The official position on Frosty being an immortal elf could have changed at some point in the 20 years since Threats was published.
Harlequin's Back is from 1994 though, Threats 1996. So changed from immortal to mortal back to immortal?
Eh ... It happens.
Since Hard Exit has been labeled as both Male and Female in the books (by different writers), it is certainly true that, when you have multiple writers working on multiple projects across multiple plotlines in multiple years, you have the chance for errors to pop up, and not get noticed by editors.
