You should read Playful Parenting by Laurence Cohen. It's a fantastic book and he talks about why kids need to play in this way. The basic idea is that everbody has violent thoughts and feels anger, and other negative emotions. Kids are very confused by these thoughts and feelings, especially when they have a parent or other authority figure in their life telling them these thoughts and feelings are wrong.
Playing helps a child process these thoughts and deal with them in a harmless way. There has been much written about this topic. I actually believe that the more a parent represses that kind of play in a child, the more a child will be fascinated by it and drawn to it.
So, my advice to you would be to read the above mentioned book and lighten up a little. I don't mean that in a harsh way, but in a constructive way.
I was one of those people who really believed all that stuff I learned in Psych 101 that if you never exposed a kid to violence he would grow up petting kittens and chasing butterflies for fun - lol. Now, I know that reality is that kids feel anger. They are confused by violence and violent thoughts. They need to play to try to make sense of these things. There is nothing wrong with boys playing swords or kids playing that one of their imaginary characters dies or gets wounded in a battle, etc.
Maybe it disturbs and upsetts your dd to think that horses actually die and get hurt irl. So, she plays to try to process it.
Even in the natural world, kids are exposed to violence. We actually saw a larger bird kill and eat a smaller bird in our yard last summer. Very distrubing. But, I could not shield my oldest from it. It was loud and unavoidable. So, try as we might, kids are exposed to things that we would rather they not see. And, your kids are 8 and 12, which, unless they live in a bubble, they have seen, read and heard some violent things.
What I do in my house is let my sons play out their emotions any way they want, as long as no one gets hurt. If they ask me to join in, in order for me to get across to them that I believe that peace is the way to go irl, I just say 'sorry, but I don't like to play with swords" or whatever that specific play is about. I sometimes also say I am a pacifist. Anyway, the point is to say that YOU don't like to play that way, but not pass judgement on them for doing it. So, unless they are asking for suggestions, I would just let them play it out how they want to without trying to "teach" them alternative scenarios. If you do that their play becomes about you and your emotions and not theirs.