Okay, so I tested it out and watched step by step. I had a floodgate with pressurized water opening into a completely open 3x3x3 airspace, where the middle and furthest planes were exposed to outdoors, but the first spot out wasn't.
It turns out that in fact it does not go straight down NOR does it go in a perrrfect cone, nor does it flood out instantly. Even though pressurizes, it actually took like 10 ticks to do anything after the door opened, then it flowed kind of like this, taking 3 or so ticks per update
4 (this first tile being the spot of the floodgate itself, shooting to the right)
7 4 (4 now in mid air, non freezing tile)
7 7 4 (so yes it went outward TWO spots in mid air before going down or to the side at all, 4 now in the freezing tile))
7 7 Ice (ices over very next tick)
At which point an ice wall without any support, not even diagonal anything in any direction. And it just sat there. No cave-in.
I then proceeded another
28 ticks, with water flying all around behind it, before any more water got far enough out to freeze in such a way that it would give that first ice wall cave-in support. So it was sitting there magically not caving in for 28 ticks.
Apparently, water flow and ice formation are not triggers for the system to check for cave-ins. So although you can freeze ice in the middle of the air, it does not kill elves... (unless they are also in mid air...)
top
middle
bottom
(thats just a floor)