Temperature rise when snowing
Snow fall can occur under several conditions. In this I am assuming conditions typical for mid to high latitudes. Association with cold-warm fronts are probably most common. Snow fall in mountainous areas can be associated with orogenic clouds and precipitation, when air is raised due to topography creating conditions for precipitation. In addition it is possible to have convective precipitation although such conditions are much more common during summer conditions yielding rain (and when severe e.g. hail). 

So when snow fall occurs in association with warm fronts, one could expect a warming since warm air replaces the cold when the front s passing. My guess is that it is this that you have experienced. However, since it is also possible to obtain snow fall during the passing of a cold front the opposite may occur. The orographic conditions concern a more steady situation where the air is affected by  a mountain which is stationary so I would not expect large changes in air temperature unless the air moving across the mountains itself changed temperature for one or another reason. Convective snow fall would not likely yield marked changes in temperature as I see it since the snow would be created by vertical movement of warmer air, cooling to form the snow. I would rather expect a slight cooling, similar to what happens under a heavy rain shower in summer.

So in short, the warming you mention is not generally  associated with snow fall per se but likely associated with the passing of a warm front.