If the rodents were thawed, call the company immediately. The fur shouldn't really feel 'frozen' even if the rat itself is frozen.
If they are thawed, I would not want to refreeze and rethaw for my snakes. I wouldn't thaw and refreeze chicken for me to eat, so I wouldn't want to do that for my snakes.
I know at least one company will make it right if you contact them immediately. I don't know which company you used though.