Because melting sugar turns color to form caramel. i.e. it has changed and specifically it has undergone a CHEMICAL CHANGE (Or chemical reaction). When melting ice, no chemical reaction occurs, and so it is just a PHYSICAL CHANGE.
Physical changes are about energy and states of matter. Chemical changes happen on a molecular level. Melting a sugar cube is a physical change because the substance is still sugar. Burning a sugar cube is a chemical change. The energy of the fire has broken down the chemical bonds.