Every Dreamwalker worth his coin knew that taking things at face value was a terrible idea in the veiled world. Looks could often be deceiving, and doubly so when it involved an illusion.
While the illusory stallion didn't seem to possess any hostile intent, its origin remained a mystery. Normally, such illusions were quite common in the Nightscape, and often led Dreamwalkers astray or lured them into traps.
Xander could shoot the stallion and continue moving forward, but his instincts told him it could lead him out of this mess. The world around him was slowly crumbling to pieces, and he still hadn't been able to locate the Last Memory.
Something or someone had destabilized the Nightscape, causing the nightmare to distort. Xander was running out of time and didn't have the luxury of examining the stallion. He had to make a quick choice based on his experience.