User blog comment:B214/Chapter 482 review/@comment-24277053-20160418134740/@comment-7418318-20160418165453

Because ice is a physical object and unless he's actively using his Devil Slayer Magic, it can still hit him like any other physical object.

There's also the possibility that he did eat Ur's ice off-screen and in response Ur is now freezing rubble and other stuff into her ice, which of course can hurt Gray, just like Silver was hurt by the rubble and the iron ball that Gray launched at him.