Studies have shown that you can safely substitute something like 40% of the horses diet with fat so I wouldn't worry so much about Cholesterol. However, veggie oil is higher in omega 6's which is pro-inflammatory so I wouldn't saturate 6 lbs of sweet feed in veggie oil but 1/2 cup each feeding isn't going to hurt your horse.
What I'm trying to say is veggie oil isn't the premium addition to a horse's diet but it isn't the worst either.
I'm feeding her 1dcl of oil a day (that's 0,4 cup) and it helps gain her weight, difference is visible in only 2 and half weeks :)
Oil from flax seed is anti-inflammatory, isn't it? Any other oils like this?