They don’t. They freeze over time.
First the water mist that is deposited on nearby surfaces freezes. Where the water is flowing slowly, droplets can freeze while still attached, and films of water flowing down over the top of those frozen droplets can also freeze, causing icicles. Eventually the river starts to freeze over and form ice dams, which slow down the flow of the river, until the flow even in the middle is slow enough to form these icicles. Eventually there is no flow, and what was a waterfall is all icicles. But this has happened over some time – hours, days, weeks or months.
It just happens to still look something like our normal impression of a flowing waterfall.
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