Because Nunu's deals a 1000 damage at lvl 3.
I'd take anivia's ult over nunu's anyday.
Anivia's ult doesn't do that much damage. It does lots of damage if you stand in it, but alone it's not enough to instagib champions.
Edit: It's also very costly. Usually when you cast glacial storm you don't want to leave it on for very long. If you do you'll be oom before you know it.
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