They appear to have played at Tonic in October 1999 ("Lee performed a set with Loren Mazzacane Connors, then they were joined by David Watson on bagpipes and Jim Pugliese on drums. Loren left the stage at the remaining 3 played a set as well (apparently they're called Glacial?)"), in France in July 2003 ("David Watson "Glacial", avec Lee Ranaldo et Tony Buck"), once at Gigantic Art Space, New York in November 2005 (?).
Interestingly, David Watson's bookings page lists as forthcoming a CD with Lee Ranaldo, named "Glacial":
http://www.harvestworks.org/ccs/0099.html.