|The Dread Pirate Hurley|
This sounds like a fun exercise! Alright, I've got some questions.
How close are your fey to mythological fey? Do you have the Seelie/Unseelie Courts? It sounds like, if you did, it would be more of a Summer Court and a Winter Court situation.
You use the Knights of the Round Table as a comparison. How much do you want to lean into the Grail lore and the Camelot flavor for your story?
I've got a few ideas that could be elaborated on, but they depend a lot on the answers to the above questions. In any case, I'm intrigued by this set-up, insofar as it casts the fey in some way as an active force with their own agenda that has real implications for the world. So often fey simply are and they rarely seem to do anything besides help/hinder mortals for their own amusement. As such, it's certainly a viable choice to make the Winter Witch and the Winter Queen one and the same, whereas under the more strict mythological paradigm I wouldn't use the fey as main antagonists in this manner.
Concerning your third point, have you decided that freezing Olgrimm is actually sparing him, or are you open to other interpretations? Depending on your campaign's cosmology and/or the particular views and philosophies of the Winter Witch, it may actually be a "fate worse than death", or at least prolong death in an unpleasant fashion. To that end, the question of "Why?" could be simply that it amused her to do so, or to punish him for a personal offense. If you do like the idea of it being a (small) mercy, perhaps there's a possibility of a love story angle? Did the Winter Witch actually kill anybody during her reign of terror? If not, perhaps killing is something of a magical moral event horizon that she's not willing to cross. Or perhaps she was saving Olgrimm for later, either to be killed later or used for other plans or as part of an internal conflict she might be having with herself.
This "winter of her heart" bit is awesome, and I love how evocative it is of that certain kind of magic that permeates post-Celtic mythology (like the King Arthur myths of Britannia). If the Bane of Sorrow will end the winter of their queen's heart, deciding what the winter of her heart means will help us to form a more concrete idea of the Bane of Sorrow. If you like the Seelie/Unseelie (or Summer/Winter) Courts flavor for the fey, perhaps this is an opportunity to add an interesting twist to the classic paradigm. Maybe ending the "winter of her heart" will cause a transformation and the Winter Queen will become the Summer Queen. That would play well with the idea of the Winter Witch having some sort of internal conflict, as these two aspects of her identity struggle for primacy. Along those lines, perhaps ending the winter of her heart is a little more involved than merely retrieving the Bane of Sorrow, and Olgrimm might be a necessary part of whatever it is that has to happen to fulfill it.