I understand - and I think Armagan's already answered this question earlier anyway - why the horses disappear in order to avoid battlefield clutter, save processor computing and increase framerates. It's very similar to how enemy dead in other action games tend to fade away.
Agree that it would be useful at times to keep the horses around longer. However, I must admit that it's extremely rare now for me to actually lose my horse and even when I'm starting a new character and his mount is killed, I've generally been able to kill an enemy horseman and take his ride.
Great to have the horses (if it didn't affect framerates for those with older machines) but it's working out fairly well now, IMO, though if things change and riderless horses abound - I wouldn't object.