The King Frost Cape is armor that can be equipped by anyone except for Morgana. It has the additional effect of greatly reducing damage the user takes from Ice attacks.
King Frost Cape may be a reference to King Frost's design that debuted in Shin Megami Tensei II and was used for many sprite-based games. Said design depicts him wearing a cape that was not present in his Devil Children design which was used for games that had 3D models, such as Persona 5.