I use the pellets under my rabbit cages to soak up
urine, and found they don't work well as mulch, unless they're mixed with other
carbon mulch material. Not sure about horse urine, but rabbit urine tends to be really hot, due to the high amount of ammonia.
Since the pellets basically turn to sawdust when wet, I dump the trays of manure, urine, and pellets in a
compost pile to help heat the pile and sit there until I need to top up the worm bins/beds with more food for the worms.