Now that I see how you put this combo together I just have to say it feels wrong. I know it's RAW, but it just doesn't feel right.
It's slightly better for a Ranger than a Rogue.
If the Rogue hits on Round X, he gets Combat Advantage (+2), Sneak Attack damage, and 5 more damage if he hits on Round X+1.
This means that on rounds that a Rogue misses, the feats do not work on the next round. The Rogue has to hit two rounds in a row (or use an Action Point and hit) in order to start gaining the benefits.
And in situations where the Rogue already has Combat Advantage like Flank, the Wintertouch feat does nothing.
The first Lasting Frost attack also does not get the extra 5 damage. The target gains Vulnerable Cold 5, but did not have Vulnerable Cold 5 on the hit itself, so no extra damage on the hit itself. Just like it did not have Wintertouch on the attack itself, just the next one.
The Rogue would have to hit twice in a row on the same target to gain from this feat combo on the second attack (or three times in a row for the second and third attack, etc.). As long as the Rogue keeps hitting, it's good.
But, once the target falls or the Rogue misses (shy of an Action Point hit), the Rogue has to start all over again.
The reason it is slightly better for a Ranger is that the Ranger only has to hit once per round to maintain the effect.
So it is not automatic, but it works pretty well with Piercing Strike.
And, it gets really out of hand if a Ranger has this feat and other PCs have Frost Weapons or Cold attacks.
A DM who allows this should reconsider.