The snow does have a net cooling effect, by both reflecting the suns energy back to space, rather than absorbing it and then heating the air. It also allows night time temps to be much colder due to it's reflective properties.
Keep in mind though that if mother nature wants to warm things, up, the snow is no match. I can remember a time when I was still in college at Purdue. We got 10" of snow in the morning, but the forecast was for temps to warm into the 70's later that day's evening with a strong cold front and rain. I was thinking... NO way it could warm to 70 with all the snow we have on the ground. Well, I was right, it did not warm to 70, it warmed to 72! and rained in biblical proportions. What a mess. Learned a lot from that event!
-John