I think "dumb" is usually a synonym for "stubborn" which in my opinion isn't at all dumb, it's pretty darn smart. I have a couple "dumb" horses and let me tell ya, I am amazed at their intelligence.
I also love watching my colt grow and seeing the way his thought process is growing. How he notices the things around him and learns how to adapt to things. I think part of the reason people say they are "dumb" is because they figure out how to do things you don't want them to, they realize you don't like it, and the continue to do it just because a lot of horses have very "clownish" personalities.
Example, as I was tacking up my mare the other day, I saw the colt out of the corner of my eye working the gate. They have been getting out recently and he didn't know I was watching him so I just sat there and watched to see what he was doing. He somehow or another has learned just how the chain goes through the gate and that if he can release it, he can open the gate.
As soon as he did this and opened the gate, what was the first thing I said?
"You DUMB horse!"