Hello there,
That is a good observation and an excellent question. The snow near the edges of a lake usually melts when it hits the ground. Water has an interesting property, it takes a lot of energy to get it to change temperature. (we call this: specific heat capacity). So it's tough to get it to freeze, even if the rest of the ground is below freezing point. When it snows, often times the ground is at or below freezing, but the water from a lake is still somewhat warm. (Certainly above freezing if it's still liquid). The relative warmth from the water keeps the ground immediately next to the lake warm, so it melts the snow when it lands there.

If the lake is unfrozen, as wind blows air across the lake, the air warms up a bit because the lake water is at a higher temperature than the air. This is usually a small effect but enough to change the temperature in immediate vicinity DOWNWIND, and prevent snow accumulating.

There is no snow on the ground near the edges of large lakes because the ground is too warm and melts the snow! Water is really good at holding heat, and unless the lake is frozen, that large body of water warms the ground on and near the shore. Given a long enough period of sub-freezing weather, however, I bet you'd find snow near the edges of large lakes.