I have seen it used for severe heaves/hives (COPD) and to pretreat horses with allergic reactions to vaccines. Some owners demand it be done before vaccines, even if its not 100% required. If your horse got it prior to vaccines I would guess that it was used to pretreat. The horse may have had colic after vaccines and it was given dex to prevent it.
Edit to add: I agree with Redhorseridge. Call the vet they may not be able to give you the answers but its worth a shot. Call the seller and ask them to okay the release of the medical records. Its your horse, you should and have the right to know about all the skeletons in the closet.