Throwing snowballs off a Horse works fine, but at some point something seems to go wrong with the Horses hitbox.
You can't throw a Snowball in any direction without breaking it instantly
Even dismounting and mounting again doesn't fix the issue.

To reproduce (if it isnt already broken when mounting the first time)
try spamming some snowballs while walking forward (of course while riding on the horse ^^). shouldnt take too long..

This may be not a big issue but for me it is, because im doing some commandblock magic over here ^^ and i cant find any other way to do it

EDIT: I did some further testing.
once the Horse is "broken" you can't even throw snowballs standing 1 block away from it's hitbox
(also trowing snowballs closely over the hitbox spawns broken-snowball-particles but the snowball keeps flying)