This is a little off topic, but since he was able to manage two full grown horses at once, I presume all police horses are trained to stay calm at the sounds of gunfire. Good work, all around.
Police horses generally have a lot of training before they are put on the street. Gun fire, idiots grabbing at them, pushing back crowds and all kinds of really wild stuff. They are pretty much bomb proof.
I thought about that also. They appear to be very well trained horses but I would expect that as the horses work around crowds of pedestrians.