So about those horses…
Throughout destiny 2 we see horses pop up in weird places. The realm of the 9, and Rhulk’s pyramid. They are very clearly depictions of EARTH horses, the only way this makes sense is if they are somehow connected with a higher purpose. Which is how my theory comes into play:
Horses are III’s gift to humanity. Given to aid in its development and establish III’s symbiotic nature with humanity long before III would later be binded to the Traveler in a future story beat (I know this is just an unconfirmed leak). Starhorse is nothing more than III’s mascot. A 3D avatar of III, using the image of its gift to interact with us. It’s why it interacts with Xûr, why it gives us loot, and why it seems to exist outside the normal rules of reality. The Witness knows this, because of course it does. The horse statues are not there because the Witness or Rhulk likes horses. They are not figments of the guardians imagination. They are demonstrating to the Guardian that the Witness knows about III, knows what III gave humanity, and has either perfected those gifts or at the very least documented them. The distorted horses inside the Pyramids are the Witness taking something meant to help humanity grow through symbiosis and reducing it into something static, preserved, and perfected. Starhorse represents III’s relationship with humanity. The Pyramid horses represent the Witness telling us that it already understands that relationship.