I took p-chem in college. The phases of material, liquid, solid, gas- the snow was melting, but staying inside the snow matrix, and allowed you to compress it into a ball of slush at the end. If you had put it in a saucepan on the stove, you might have seen water eventually, however, the properties of things in the solid phase will stay close to the temperature of ice until all the ice has melted... and then once all the ice has melted, then the water can increase in temperature. and eventually turn to steam at the boiling point.

Any plastic smell is likely due to some of the propane not being fully combusted, and perhaps condensing into the snowy matrix.

Nothing really unusual here! I've been in plenty of winter storms in New England, light fluffy snow, wet snow, slushy snow.... all normal depending upon the weather at storm time.