I can agree they aren't all lovey-dovey, but I wouldn't describe their relationship as cold. There seems to be a certain level of affection between them; one of my friends saw them at the airport and she said Fedor was carrying Ksenia's luggage for her, and also he always hugs her when she is upset over a bad skate. I think they care about each other as human beings but have little in common, so you don't see them hanging out off the ice.
Sometimes you can be in a relationship with a person you care about, but you realize it's not going to work (it's long-distance, you want kids and the other person doesn't, etc). You can break up with someone because you want them to be happy and you know you can't be that special someone for them. Listen to "I will always love you" by Whitney Houston and you'll get the idea
Anyways, I really think they worked better together than the media would like to say.