reading posts about this pipe - I can guess it's designed to allow the
H2O in the CH4+2O2 =CO2 +2H2O reaction to escape somewhere.

Never noticed one on my Vaillant 820 TurboMax boiler ... can they be
internally fitted, or not always required ?

Having just thawed the cloakroom cistern supply pipe (it's right at
the edge of the house) I'm worried.

Last night must have been cold. In the 8 years we've lived her, never
had a bucked of water in the garage freeze.