I'm glad you posted your work.
There are indeed some issues but they can be solved...
One issue is the relationship between the sky and the water. The sky is rather gloomy while the water too bright in comparison.
I suggest you bring both closer together.
As
@Argos stated the edge snow/water isn't that natural.
My suggestion would be to keep the snow background untouched and place the water layer on top.
Select a part of the water on both sides, place them on their own layer (ctrl+J) and remove those parts from the original water.
Add a layer mask to the 'waterborders'. Reduce the opacity(or use an overlay blend mode on the water borders so some snow shows through the water.
Use the layer mask to make the water stream borders softer at will.
The lady in the water is fine for me since it is fantasy and to be honest, if I was in that cold water, I wouldn't have much color left on me except some blue...
Oh, I almost forgot, remember to add a faint reflection of the lady in the water...