I would generally agree. First of all, you're going to test a lot of your restore processes with backups which are closer to home: You should make sure your VMs can all restore from your onsite (or just less icy) backups, for instance. As long as you're confident in that, the only thing you need to test with "ice cold" storage is that you can successfully restore a single VM from it, since you know all of your VMs can be restored.