Once, long ago, I almost lost my first retriever, a lab, in a similar situation--except it wasn't a rock she went after, but a duck that had fallen well past the shelf of thick ice ringing the large and very deep pond I was jump-hunting. I was young, new to duck hunting and I stupidly assumed my dog could either break through the ice or climb back on top of it with no problem. That stupidity almost cost my dog's life. After a few tense minutes of thrashing around she finally managed to pull herself back up on the ice, but the experience of standing there helpless, watching as my dog struggled for her life left an indelible impression."
And even now, some twenty-two years later, I still flash back to that scene every time I send my dog on a retrieve in icy conditions. I'll continue hunting deep-water ponds and lakes until they start forming rim ice, but when that ice gets thick enough to where it's not easily breakable I switch to shallow-water hunting in areas where I know I can easily and safely reach my dog if she does get in trouble. It's no doubt cost me some late-season hunting opportunities, but no duck is worth the life of you or your dog.