Talking here about the TV Show series of the Flash, I can't help but failing to see what is so special about the cold gun and whether it is just plot hole of whether there's something in the comics (or in the show) that justify people reaction to Captain Cold.
The gun, as described, only provides a freezing gun with limited range, limited burst power and nothing particularly special about it. One could argue a machine gun is way more dangerous both in terms of it effectiveness against the Flash (burst power alone increases the chance of at least one bullet hitting the target) and against others.
I fail to see the point of the episode where Cisco needs to provide a shield to the police to counter the effects of the cold gun instead of having the police just shoot from distance (I.e. Use a sniper and take him out). Same thing applies to the Flash himself, just super speed pass fast enough and take the gun away from him, if you can do it for a standard gun, why can't you with the Cold gun?
Is this just a plot hole or are there any additional powers in the comics not mentioned in the show?