Without playing/seeing what Horses is like, it's difficult to evaluate Valve's decision.
That being said there is tons of weird and fucked up NSFW stuff on Steam.
Banning a transgressive game seemingly without any explicit content seems excessive.
From my perspective, this is another reason it's a bad idea to have an American company (even a somewhat user-focused one like Valve) be a steward of modern digital services. Local culture puts too much emphasis on the theatrical elements of morality. Not to mention the challenges faced by the locals in areas such as corruption and rule of law (Valve trying to cheat on refunds, adding mandatory arbitration clauses, Soviet-style kangaroo courts essentially, and operating unlicensed gambling schemes).