To the best of my memory, I did not contribute to answering that question originally , so let's see whether I can help here.
For a start, you rightly talk about skin sticking to cold surfaces, but when you equally rightly mention powdery snow, remember that only a superficial bit of the powder sticks, if any, and it does not readily melt, so the thermal contact is very poor; in short, it takes far less heat from your tissues than you might expect. A poor thermal contact is a serious barrier to heat transfer, especially in quiet conditions where there is no wind chill or water chill factor.
Why are the skin cells not killed? Here I think you overlook something. You say:"...but still that layer of cells in contact must be -30 or so on one side
and above freezing on the other. Why are they not killed?" and you add: "Many animals have dead cells "fur etc." in contact, but not Penguins as
far as I know."
Think again. Your skin does not have live cells on the outside, unless you have recently painfully skinned a knuckle or something. Your epidermis, on its outside at least, is as dead as any glove you could buy and it contains little water, is a poor conductor, and if it is dry enough, only a fraction of one layer of dead cells will get severely cooled in a hurry when you touch very cold ice. Like a good glove or a good pelage, that dead skin deserves respectful treatment, proper lubrication and so on, but it is stone dead all the same, and underlaid with successor cells busily dying according to elaborate schedules to prepare themselves to form sound new dead skin. At its surface there are billions of dead cells flaking off all the time to prepare a place for their successors in good condition. (Much of our house dust is simply flaked-off skin cells.) Either failure to grow new cells or to shed old cells according to the proper schedule can lead to disastrous skin conditions; we rarely stop to think how complex our simplest bodily processes are.
Anyway, healthily waxy dead skin cells prevent the living cells from being "...-30 or so on one side
and above freezing on the other...". They only get anywhere near such a situation if things have gone badly wrong.
Note that so far I have been talking of human, baby-bare skin, not horny, scaly penguin-feet. Their soles are covered with strong, slippery, uneven, waxy scales, so that the thermal contact with dry (water) snow and ice is almost negligible. The soles are protected by so many layers of whole classes of different kinds of protective dead cells, that if the feet are going to freeze at all, it might well be from the inside out, on a dead penguin. Those layers make the calluses under our soles look quite effete <ahem>.
Not that the penguins rely on poorly conductive soles alone, of course. Although they spend their stationary weeks and months erect, (frankly, simply contemplating the idea gives me the horrors, greatly though I admire the adaptations that permit them to survive) in their journey they often toboggan on their feather-insulated bellies.
Does that help you with making sense of the situation?
All this and counter-current heat exchangers too! The rete mirabile is not the only thing mirabile in an emperor penguin.
Cheers,
Jon