The newest FAQ says this: Q. Does a Horned One count a magic item for rules purposes, or is it only a special type of cavalry mount ? (p101) A. It is only a cavalry mount I believe the intention of this rule was for the puposes of hexes and magical items that negate enemies' magical items. Does this also mean the 35 points for the Horned One don't count against a character's magical item limit? Does it mean that unlike magical items, you aren't limited to one per army? I hope it's yes on both counts because I have lots of Tichi's Raiders bitz and want to try to eventually make a conversion to have a skink priest on Horned One Rider, or even two for a Southland's themed army.
Hmm I remember this coming up on here when it first showed up in the FAQ, but I don't remember what was concluded.. My gut feeling is that you are right, it is no longer a magic item at all and just a mount.