I can come up with an array of reasons why the horses almost have to be male.
- Nugget was described as a male horse, ergo he'd look odd if he definitely had a feminine physique.
- At the very least, Nugget and Nugget's understudy are going to have to carry Alan around so should be strong, and women aren't generally renowned for their ability to carry young men around on their shoulders.
- Horses are big powerful beasts. It helps if they can all give off the illusion of strength. I'm probably setting the feminist movement back to the '50s, but women *aren't* physically strong in the same way that men are. We can have monthly cramps and squeeze watermelons through tiny holes with nary a whimper (kinda XD), but we don't have those lovely big broad shoulders.
- Theatre audiences are stereotypically (and I'm not talking in a fact-based way; just the stereotype) women and gay men. When trying to present horses as sexy, why wouldn't you use fine young men to appeal to as much of your stereotypical audience as possible?
- It's a very male play. There's, what, four female characters, and not one of them is really more than a tertiary character role. Shaffer wants that dynamic, so play to it, don't throw any mares in.
- Hell, maybe Shaffer wanted male horses FOR the gay vibe.

I just see the homoeroticism as VERY much secondary to the equoeroticism and believe the horses are played as they are to appeal to the audience rather than to give them vibes so much. I absolutely see your point, Reg, and I hope I'm not giving the impression of saying "OMG YOU'RE WRONG" or whatever. I just really do feel that any homoeroticism is secondary. :)
Although on the recent UK tour, the understudy Jill/nurse was also a horse. But then, you do try and condense down the casting as much as possible for a tour; all fine young men in the West End though. ^_^