By “that cold”, you mean subfreezing (below 0 degrees C)? The entire body of water on the road probably wasn’t below zero degrees, a lot of it's flowing water.
The water obviously isn’t hitting the air and instantly freezing, that would require temperatures of something like -40 degrees.
Icicles are formed when water droplets fall from something such as a roof/plant/other surface (the bushes in this instance) and lose their heat to the cold air (then freeze).