Just to add, while I know of plenty of people that DO feed still frozen, and I haven't heard anyone say there is a risk of splintering (though I know exactly where you are coming from on that one, Bluegirl!), there have been people who have suggested that feeding still frozen food may increase the chance of bloat...
Generally avoid giving it frozen if they have just been racing around in hot weather, as a rapid change is internal body temperature has been linked to some cases of bloat - this is far from a proven cause, but thought it was worth passing on so everyone had as much information as possible!