Christmas Update 2001 was when snowballs were first introduced to the game. It was possible to create them by using snow heaps on the ground (just like on the Percht Island from the Winterlight Solstice event) which were temporarily added as part of the christmas festivities:
As far as I know, back then the skill training system was slightly different. Nowadays you have to damage the monster every once in a while in order to progress; at that time there was no such requirement. Because of this, snowballs made the perfect tool for players to train their distance fighting skill - free, basically infinite and harmless to monsters. I think it is clear why they had to be left out.
Sources:
Snowball
Snow Heap