I would have his teeth checked first.
By Free Choice Hay I assume you mean at all times? Like 24-7? He should be getting plenty of hay, especially in the winter.
Older horses have a harder time keeping warm, even blanketed, and the extra calories used to keep warm can make them drop weight very quickly. My OTTB is the same way.
I prefer corn oil. It totally a personal preference. Its cheap, and I can buy it in the same isle as my pasta!
Flax Seed is also good. I like corn because my horses seem to prefer it too. Maybe a bit tastier? I have no idea. I also know several horses who prefer Flax Seed over Corn.
I'll have to go back and take a look at the specifics, as I don't remember what all is in it, but have you heard of Omegatin? I use Omegatin as well. I love it! Definitely the best for the money.
Is you boy on any sort of supplements? I know how you feel with the allergies...My White American Bulldog is literally allergic to EVERYTHING, but we feed Holistic dog food, and he's fine now, can't really do the same with a horse.
Does he get free choice trace mineral block?
Has he been under added stress other than a VERY chilly winter?
Like I said, Teeth are the first culprit, but its usually a slow drop in weight...not a sudden one.