It's not any different than going to Walmart yourself and getting groceries -- they just put them in plastic grocery bags. I've never had a problem with anything refrigerated or frozen. (Well, I've never ordered ice cream.)
The key is to be home when they deliver it; so, you can put those things away immediately. They offer two-hour delivery windows and usually deliver within the window. In my experience -- I'm disabled and use them for groceries almost weekly -- about 5% fall just outside the delivery window. (Usually 10-20 minutes late.)
I feel someone will soon start a website "melted-icecream.com", where someone tracks orders all over the country, from major online suppliers, and graphs how warm the ice cream is.
they don't do anything special for frozen items .... it's just as if you get it in bags from the store. .... add in additional time for neighborhood deliveries if any ..... usually they arrive semi-frozen .... you can track the delivery driver from the store (where they hopefully keep it in a cold room) to your home... for me it takes them from 20 mins to 1 hour for delivery ...
I live 15 minutes away from the nearest wal-mart and frozens/refrigerables are my biggest concern.