The horse vacuums have the attachments of course, they also have the longer hose to get the vacuum further from the horse. I never thought of just using a shop vac... I don't know why that wouldn't work if you had some attachments.
I use my vacuum now and then when I don't want to give them bathes. They are nice to have but its not something you gotta have. My horses sure like it though, it nearly puts them to sleep.