My name-tagged, diamond-armoured horse "Neddy" disappeared randomly whilst on manoeuvres. I inspected the local area and there was no way it could have died or travelled far within the time. However, I did find the diamond horse armour and the saddle, along with some leather. A few minutes later, I tamed a new horse and rode it back to my home. When I dismounted, it disappeared, right in front of me. Definitely a bug.