Yes, once the cold immunity is removed you then get full credit for your Cold Mastery.
However, removing the immunity isn't so easy. If a monster is immune, then you only get 1/5th credit of Conviction or Lower Resist in the attempt to remove it.
For example...
If Monster A has 100 cold resist and you cast a lvl 1 Lower Resist (-31%), you only get 1/5th of 31%, which is roughly 6%, to remove it. In this case, Monster A is no longer immune and it now at 94% cold resist (100-6). Now your Cold Mastery kicks in at full credit. So if you have lvl 1 Cold Mastery (-20%), Monster A now has 74% cold resist (94-20).
If Monster B has 110 cold resist, then the 6 point attempt from a lvl 1 Lower Resist will not be enough to remove the immunity, therefore Cold Mastery will never kick in.
The highest cold resistence I've noticed on the Arreat Summit's site is 125. You would need 26 pts to remove that immunity. 26*5=130. A lvl 20 Lower Resist is -62%, and even with +skills the diminshing returns of Lower Resist could never remove that immunity. However, a lvl 20 Conviction Aura gives -125%. A few +skill items should do the trick there.
Assuming you are a Cold Sorc (like me), your aim should be to get "Infinity" on your Merc for the lvl 12 Conviction (-85%), as well as a Wand with Lower Resist charges on your Switch. My wand gives a lvl 2 Lower Resist (-37%) and I'm not sure if you can find better than that. That would give you a total of -122% * 1/5th = roughly 24 points to attempt to remove the immunity. So... if a monster is 123 or less resistant to cold, then you will remove the immunity and your Cold Mastery will now kick in. If the monster is 124 or more cold resistant, then get the hell away from him! :shocked
If I wasn't clear, then ask a follow-up question.
