I seem to recall someone saying that the io word ending usually indicates a verb, so perhaps sglefrio only works as a verb, but not as a noun? For the record "ice skating" works as a translation.

You've missed nothing - 'sglef' and 'sglefri' aren't words. It must just be that it is unlikely to say "I'm going to go and ice skate" or "I'm putting on my ice skate" (unless of course you're a one-legged figure skater)!