Yes, I have heard this too, about the humidity, but find it hard to believe that's the whole story. If it's cold enough, many animals, humans included, can get frost bite on appendages such as fingers, toes, ears, and tail, even if humidity is low. I don't know why people assume that for this to happen to a chicken, the humidity has to be high.
Yes, eventually the frost bitten part of the comb turns black and falls off, same as for frostbitten fingers, toes, ears, etc. You are right that it is no big deal in the sense that you don't die from frost bite, but the point is that it's extremely painful before the affected tissue dies and falls off. In roosters it causes reduced fertility, which implies some serious stress. If you ever suffer frost bite yourself, you will learn how painful it is.