There are a few picks for best Legendary to pick up for your Frost Mage in Shadowlands, depending on what content you see yourself doing.
Best Frost Mage Legendary Shadowlands: What is it?
For single target fights, Slick Ice will be the go to Legendary. While you pop your big Icy Veins cooldown and hurl Frostbolts at your enemy, each successive Frostbolt's cast time is reduced by 2%, and damage is increased by 2%, stacking up to 10 times. 20% increased damage and 20% reduced cast time is no joke, and you turn into a Frostbolt weapon of war with the Slick Ice build.
If Mythic+ is more your style of content, switch over to Freezing Winds. Freezing Winds keeps Fingers of Frost proccing every two seconds while Frozen Orb is out on the field. This creates a loop of Frost Lances and phenomenal AoE that can rival even an Elemental Shaman in terms of sheer AoE damage output.