Vexes take freezing damage from power snow as well as cacti  and berry bushes.

How to replicate:

Place a Vex in a mine cart and push it into powder snow. After a few seconds the vex will take damage much as any other mob. Since Vexes aren’t supposed to take damage from any blocks, including  water, fire, lava, and magma blocks, they shouldn’t take damage from powder snow either. 

As stated above they also take damage from cacti and berry bushes. This can be replicated by simply spawning a vex next to one of the two plants and waiting for it to attempt to phase through the block.