Should I bathe furry warm blooded Ice type Pokémon like Sneasel and Alolan Vulpix with warm or cold water? I don’t want to make it uncomfortable for my Pokémon.

Typically, warm-blooded ice-types are best bathed in cold water, but it also depends on the pokémon’s preferences. Because they’re warm-blooded, they have better thermoregulation than cold-blooded (both biologically speaking and “as in, their blood is literally ice”), which means they may be able to tolerate higher temperatures. Spheal and dewgong with the ability Thick Fat, for example, may prefer lukewarm water, and perhaps as a holdover from their fire-type ancestors, some Alolan vulpix prefer warm baths. Start off with a cold bath for your pokémon, then increase the temperature if they indicate to you (through shivering, splashing about, or pawing at the faucet) that it’s too cold. Keep adjusting until you find your pokémon’s preference.

Also, keep in mind that some ice-types should not be bathed, even if they’re furry, unless they absolutely need it (either because they’re filthy, covered in a toxic substance, or already too sick to bathe themselves). For example, members of the sneasel line self-groom and should be left alone, and the swinub line, being part ground, should be given a dust bath instead.

How do the Drought and Snow Warning abilities manifest in Pokemon? Do those Pokemon carry around their own personal weather cloud or are they capable of instigating the weather effects as they please?

Loosely speaking, the latter, yes. Basically, these pokémon emit powerful auras (not literally Aura but rather an aura of power) that influence the immediate atmosphere. So if a pokémon with Drought walked into a room, the air would turn hot and dry. Some more powerful pokémon can even manifest fireballs that form miniature suns. If released outside, then these auras will automatically trigger Sunny Day or Sunny Day-like effects. Conversely, Snow Warning chills the air to the point where the moisture in the room forms its own weather system, complete with hail. While one might assume you can counter such an ability with a dehumidifier, it should be noted that the secondary effect of Snow Warning is to release enough moisture in the air for its primary effect to occur.

In short … pokémon essentially conjure weather effects wherever they go, by manipulating the atmosphere around them with their inherent elemental abilities.