I think the keys to the cold storage address has been transferred to the new owner that is why they do not feel any fear of something happen to the funds stored to the address.
Sure, but the problem is they can't be sure that the old owners don't retain a copy (e.g. have the backup seed somewhere etc.) [1]. If something did happen to their cold storage, they'd really have no way of knowing if they got screwed by the old owners (or some malicious software) or something. And like wise, the old owner knows if there's a problem they will always be suspected.
If I was either the seller or the buyer in this situation, I can't imagine ever agreeing to such terms.
[1] It's possible some hardware wallets with software attestation like ledger could provide the ability to check if the private key has ever been exported or not. But that's not really realistic, as I don't believe they have this feature and it's not like satoshidice would've been running a cold wallet without a backup.