While ice is a somewhat extreme example, the idea of bringing over the electronics and using local materials to put together whatever structural components are needed isn't that crazy. It'd save a lot of mass, and things like 3d printers can produce them with reasonable precision. There already is a decent amount of research into the prospect of 3d printing structures with Lunar or Martian regolith, so structural components for robots or machines don't seem too crazy.

I don't remember the details and I don't remember the exact place where I have heard and interview with somebody that works on this stuff.

They wouldn't use pure ice. But in cold places, with ice mixed with some other materials you can actually make quite good materials. Consider that in most places gravity is much lower then on earth so it doesn't need to be carbon fiber to be useful.

I said steel, not carbon fibre. And even in zero-g things still have mass to them that needs to be handled, don't they?

I know what you said, I just used carbon fibre to make a point is. You don't always need the best materials to have something useful.

Yes things still have mass but if you are building a robot that moves around there is a big difference in what kind of quality structural materials you need for the robot to be viable.

Part of the research that would go into such project would be to look at what local resources are, and how to make them into useful materials. For example, using ice in combination with some filler material has been shown to be quite usable in cold temperatures.

The exact materials you would use depend on where you would want to use this kind of system. Maybe in the far future these kind of system would look around to analyses the environment and make smart choices about what materials to use to build themselves.