I've got several of these sets, and I've noticed this with a couple of the horses. I just squeezed the "halves" of the horse together and it went away.

Thank you very much for the recommendation 'hjmediastudios', glad to see I wasn't the only person to notice this

Also this has been a fantastic and very detailed set review by 'KielDaMan' which helps me decide to buy this set in the first place.

Having picked one up as an experiment (I do some work as an experimental archaeologist, with a focus on the Civil War) I am looking forward to army building this like nothing else. I have no idea what to do with so many cannons, but I am thinking a new version of Legorado might be in the works for me.