The appeal of these games are that there are no consequences. You can ride your horse as fast as you want, and if you crash into something, you don't actually get hurt.

Also you can ride a horse without the requisite care, cost, time responsibility etc. You can be whoever you want, and when you get bored of that personality, you can just ditch it.

I personally don't really enjoy this game, but it's easy to see why people do.