I use 2 thralls and 1 horse in my team. When the “Auto Face Forward on Attack” option is enabled, the horse does not run away FROM danger, but gets damaged and the only thing it does is whinny plaintively. Probably, the system constantly turns her around to face danger and she simply cannot escape from it.
Now about the Thralls. One of them (randomly) or both are constantly sleeping. Probably, the thrall’s guidance system is in conflict with this setting. They come to life only when the enemy hits them.