I didn't notice a unicorn Horn in the film at any point, but I believe most people believe it was a Unicorn at one time, due to the damage seen on the horse. Specifically in the location where there would have been a horn but it broke off.... maybe due to being played with by a child.
Pretty sure the film version had the 'hole' in the forehead... I guess we need to wait for the BluRay.
EDIT: Ugh sorry about the tiny picture, not sure how that happened. Scroll back up to Spacebob's post to see the larger version.