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No, the horses did not have any choice in the matter. Even if they did I am sure most would choose to be with it's rider, just as your horse would happily go anywhere you want it to.

If it is any consolation, at that time the cavalry was mainly used as mounted infantry. That means a cavalry unit would ride out to meet an enemy army. They rode four abreast and the rider on the left was a horse holder for the other three. The three cavalrymen dismounted would advance toward the enemy army and start a firefight. The horseholder would then take the other three horses away from the fighting to a safe area until it was time to return. The main point was that fresh men could be moved quickly into an attack position and withdrawn just as quickly if needed elsewhere.

This could be a holding action to prevent the enemy army from advancing. Or if the cavalry unit is strong enough with enough firepower it could defeat the army it is facing. Failing that, if needed the horses would be brought back to the dismounted riders who could remount and retreat to safety or a stronger position.

Yes, horses did not get much choice in the matter but they were considered to be very valuable. So valuable in fact that one General would not allow any cavalryman to make his horse run, unless it was an absolute necessity. My Great- Grandfather served in that General's Cavalry.

BTW, I was a very good horseholder, even got into a couple of firefights (blanks) while holding three horses...... : )