I use a vacuum at the barn. To answer your question, my gelding LOVES the vacuum. He loves the suction feeling, especially on his neck and back. He's 25 and has probably been vacuumed his whole life.
On the other side, my 3 Y/O filly is scared of the vacuum and rears, jumps around, etc. when you try to vacuum her. The first couple times I introduced it to her, she was fine, but when she felt the "sucking" feeling for the first time, she freaked out and broke her cross tie. She's just hot in general, and is 10x worse around clippers. She's the only Morgan I've met who refuses to be vacuumed. The rest of them love it. It doesn't help that she's very sensitive.
Their great in the spring and fall when its too warm for blankets, but wet and muddy.. and the horses love to roll. Trying to get all that caked mud off any other way is crazy! (Which is why, if the filly still doesn' vacuum in a few weeks, she'll be getting a sheet)
I've never used anything other than horse vacuums, but I don't see a problem with others.