On some lines, the rail is covered by a 3 sided box. The underneath is left open and the shoe on the train picks up current from the bottom. Therefore, there's no ice on the surface to worry about. On other lines, either de-icer trains are run to keep the third rail clear or ghost trains are run to try and keep ice at bay.
Current reason/excuse (delete as appropriate) is that the new overground trains are lighter than the old ones and therefore make less contact with the 3rd rail. Most underground trains are old rolling stock
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