To his credit, Steve looks less disturbed by 'eternity in someplace with frost in the name'. He understands the reference and implicit threats, understands what Asmodeus knowing to use that against him means (that one's not any kind of surprise and was already assumed), but simply looks... almost insulted.

"First of all, I don't need saved, much less from myself." That one's to Zerxus. "If I wanted out enough for 'dead' to be my first option I'd already be dead. If he wanted me spending the rest of eternity frozen, he'd have already done it." He only thinks he could probably make that happen and isn't interested in testing it. "Secondly, that was him upsetting you, so your reaction would upset me. Strategy isn't your strong suit is it?"

There is a real reaction there, under the insult. He'd absolutely prefer not to go near anything with that kind of cold involved. Ever. How much he'd do to avoid it remains to be seen but that is, in fact, worse than anything involving heat or pain. So. There is that. In fact, it's probably what's fueling the... irritable.