yes there is a movie w/ that title.  It was made in '89 and released in the
US in late '90 on the art house circuite (Landmark theatres et al.)
 
The director's last name is Nichetti.  Due to early senility I can't
provide you w/ a synopsis, but I do remember that the interplay between
what's in video and what is not is enough of a draw for me to see it
if it ever comes around again.
 
I believe the male lead is the same person who played the artist in
Bozzetto's spoof of Fantasia Allegro non Troppo, but again I defer to
selective amnesia as to what his name is.
 
So yes there is an Italian movie named Icicle Thief ( at least that it is
its English title).
 
Max
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