About two years ago an ultrasound showed that my mare was carrying twins. We tried to pinch one of them out, but sadly they were too close together and we lost both fetus. Which was very unpleasent because I paid a fortune (at least at the time it was a fortune for me) to breed her to that stallion (who btw was sold to California couple months ago, and I guess that the fact that someone in USA bought him from Europe, Latvia, is a proof of his quality).
Anyway - I personaly know 3 horses, who were twins - all of them are smaller than they should be, but any other way they are healthy, except one mare that is infertile. This year I heard story about twin foal being born somewhere in my country. They survived and are also healthy.
But, if I had a mare pregnant with twins now, I would definatly choose to end pregnancy or pinch one out. That is too risky, there is too slight chance that your foals will survive.