Though I agree, the "it's only a movie" argument is rather lame and quite often missed the point, 'cause not all movies are just meant to be mindless entertaining.
But movies (or certain things/scenes in it) aren't always meant to be taken literally, aren't supposed to be realistic. Sometimes directors are more concerned about aesthetics, psychology, metaphors, a certain idea they want to convey, subplots, etc.
In this case there's clearly an analogy between the horse and Sonny, so the horse's story basically is his story. When he is talking about what the horse has been going through and wanting to set the horse free (he also does say something along the lines that he knows that there's a risk that the horse might not make it, but that it's still better to at least have a chance and try it, and he seems convinced that it's strong enough that it could make it), he is clearly talking about himself, the former champion, who can't stand his current situation (he too is leading a "pampered" life, but is no more than a trained horse, used to sell some rubbish products, sedated by some kind of drug - in his case alcohol - and having no sex/family life) and wants the chance to be free and to start a new life, even if he doesn't know what it will bring or whether he'll make it.
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