To correct a few points: First, Cold Mastery will not break immunities. The only things that’ll break immunities are the paladin’s Conviction and the necromancer’s Lower Resist, Amplify Damage, and Decrepify (the latter two for physical only). So even if your primary is something cold, you’ll still need some other element.
Second, there are no triple-immunes in the game. If a monster gets a set of modifiers which would make it triple-immune, only the first two immunities apply. There is one monster type with five immunities, but in single-player, you’ll never see it.
Moving into the realm of suggestions, then: Yes, most monsters are fire resistant. Even when you take that into account, though, Fireball still kills faster than any cold skill. Except against fire immunes, of course, but then, there are cold immune monsters, too.
If you’re going to give your merc Insight, I would recommend a Prayer merc (that’s normal or Hell combat-type) rather than Defiance. The merc’s own Prayer works as a synergy for the Meditation on the runeword.
A Spirit shield has very good mods, but it’s also going to be very heavy. The lightest shield you can make it in is a monarch, which requires 156 strength, much more than any of your other equipment. You can make a case for it being worth it, but it’s a judgement call.
And with all due respect, a sorc can solo Meph and Pindleskin naked. Soloing Baal, now, that means something.