I have had about 3 horses disappear on me now whilst playing on a realm on the new update.

The first one I attached to a fence post with a lead. I logged off for 5 minutes, and when I repoened my game, the horse, fence post and lead were all gone.

The second and third involved leaving a horse in a boat. Again, when I logged back in, the horse was gone (both times). 

Horses also disappear sometimes when they jump into water but this is resolved by logging out and back in again.