There's a similar one in Finland, too. Kemi's Snowcastle has been built every winter for years, I remember visiting it about ten years ago. It was spring time and the castle was already melting, so the experience wasn't anything particular. I think I've heard that they are having problems to get enough ice and snow because the winters haven't been very cold lately. So they are using machines to make fake snow, which melts anyway. Great way to spoil the energy.
We didn't sleep there, but I would guess that sleeping in those things would be horrible. I hate cold.
Pictures are from their website (:: Lumilinna :: Snowcastle ::). They are really small but I don't know how to make them bigger.