Actually, Mercury does have an atmosphere, albeit, a very tenuous atmosphere made up of hydrogen, helium, oxygen, sodium,water vapor, and other trace elements. While it is so thin that is is almost non-existent , due to its proximity to the sun, it has a "comet tail" effect, which is made up primarily of sodium.
Finding ice there is not really all that surprising since the far side of the planet is in the dark for 2 mercurial years (176 earth days). Since there is no tilt to Mercury's axis, craters at the poles never get direct sunlight and are at best in constant shadow. And without a thick atmosphere to warm up, what isn't in direct sunlight will get real cold real fast.