Frozen Alcove is a sub area, a cave. This is where the Flameshadow Crystal is found. This is one of the guarded rooms keeping King Laloriaran Dynar in the Lightless Oubliette. The Crystal is guarded by a pair of Frost Atronachs.
After you take the Flameshadow Crystal, everything changes:
It is now filled with magma and Flame Atronachs.