When you let off the throttle your wheels start driving the engine and slowing you down. In snow/ice that engine breaking alone can be more braking force than is safe and so you go into a skid. Shifting to neutral removes engine braking and allows for more controlled slowing down.
When it's those conditions though I just use a light touch on the throttle to make wheel speed match ground speed, a lot of easier than trying to shift in and out of neutral.
