I see this and think of what it might have been like in a Cavalry band, circa 1870-1900, trying to play a bugle with the horse moving a good bit faster. I imagine you would have to ride high in the saddle to play if the horse is moving much faster.
Marching was fun to me and it taught me to count and keep tempo really well. I looks like the horses have it down pretty good, too. I've ridden a handful of times in my lifetime. I usually do very well with animals. I'm not sure I could play and ride at the same time though.