I remember that these are caused, not by a real physical danger, but that certain nerves in the back of the throat are affected by the low temperature of the liquid (or ice cream). Especially with a slushee the nerves have a longer exposure to extreme cold. They short-circuit and send false signals of pain to the brain.
A radio show researched this once because they were going to have a slushee-drinking contest. They wanted to make sure that no actual damage would be caused.