Do you know how much feed your horse is getting? Sweet feed is often fed in really large quantities (upwards of 15 lbs/day in some cases!). If that's the case for your horse, he may just be getting full.
I'd agree with the other comments that it doesn't look like he needs to gain weight anymore, so save your money and don't get any more Cool Calories
Sweet feed definitely isn't high on my list of favorite horse feeds, but if that's what your barn feeds you may not have much of a choice in the matter, depending on their policy on customized feeding plans and/or your personal finances. I prefer ration balancers
to grain in most cases (I feed my horse Triple Crown 30% Supplement), but there are a number of good grains out there as well- I hear very positive things about both Safe Choice and Life Design from those who use them.