Yeah, on the Icy Wind set you have to run Shadow Ball, which means that you sadly lose out on either Taunt or Destiny Bond. Surprisingly, however, if you run Icy Wind/Shadow Ball/Destiny Bond/Spikes, the only common leads that you really lose to are Machamp, and Metagross.
So yeah, just a thought. But you definitely have a valid point on the fact that you don't get the 2HKO on Azelf with Icy Wind, and I now wish i had noted that you need to use Shadow Ball as well.