Based on the type effectiveness chart, Ice Punch is overall more versatile than Thunder Punch. Ice gets super effective against Ground, Grass, Flying, and most notably, Dragon. Thunder Punch, on the other hand, is only super effective against Flying and Water.
Additionally, while both moves have a small chance of applying status, Frozen is a more effective condition than Paralyzed. A Paralyzed Pokemon's Speed is reduced by half, and there is a chance each turn it will be unable to attack. Frozen, on the other hand, leaves the Pokemon incapable of taking any actions for potentially many turns. Possibly indefinitely if RNG is not on your side.
Not to say that Thunder Punch is a bad move. It just has a narrower and more specific use case than Ice Punch.