Before I had a horse named Aiko. She always wandered off somewhere, so I wasn't surprised that she got missing.

Even though I swore to god that I put her in her pen.

My second horse who had diamond armour on, like the previous one, was called Akira. I lost him a day ago. And I swear I tied him up in his pen.

After noticing he was gone I copied my survival world and tried using a command to find him. The attempt had been proven futile when it said that there wasn't any targets matching the selector. I tried it with another horse that I lost that didn't have any diamond armour on but iron armour and it worked completely fine. 

So that's how two horses with names and diamond armour AND the perfect jump and speed combination despawned...