It is not possible with the existing system of scene props attached to agents used in PW, since the game engine is hard coded to throw other agents away (the bug reports / requests about it on the TaleWorlds tracker has been ignored for years).
You would have to make an entirely different system which animated scene props to stay with the horse, as used for the ships: note that this has a much greater performance impact on the server. When profiling the PW scripts, the ship movement code is generally a large percentage of the computation, and various server hosters have noticed that when more than about 5 ships are placed in a scene, performance noticeably starts to suffer on an exponential scale. So it is possible to make that sort of system, but I decided long ago that the trade off did not seem worthwhile: you might find it otherwise, in practice.