I’ve been fiddling with the pets in the dev kit and, working off of memory, I’m pretty sure the reason for this is that the undead rhino is also still classified as a warrior when you put a saddle on it. So it kicks one of your other warriors out instead of just being a mount. That might be an issue with any mount that is also capable of engaging in combat.

I could be wrong, but I remember noticing that when I was “fixing” pet stats for a mod.

EDIT: Reread your post. In the process of recalling my experience, I had overlooked yours concerning mounting the other rhino without issue. But your experience renders the assumption expressed in my crossed out text incorrect. Hrm.