I do not believe horses need grain either. But, I do think most need some mineral and vitamin supplements, to balance out their diet. Sure, most horses will do fine without them, but adding some extra nutrition to a horse's diet can give a horse more "bloom".
We got one in that never ate grain. He was in fine shape, not fat, a bit thinner than I like, but not thin. He didn't have much muscle, much mane or tail, and his coat was "lackluster" (growing in a winter coat, so I didn't expect much shine, but it was just "dull"). After putting him on our diet, which consists of free choice mixed grass hay, alfalfa pellets, vitamins, and an Omega 3 supplement (we don't have any grazing), he has gotten a LOT more muscle tone, his mane/tail is growing (he's an Appy with a rat tail! lol), and his winter coat finished coming in much softer. His feet are also growing out nicer and we were able to take his shoes off with good success.
I now have my horses on ADM's StaySTRONG pellets
, which are a concentrated vit/min feed. You only give 1 lb a day. I still add some alfalfa pellets to my working horses, but I feed a lot less. I am using Uckele's Cocosoya for Omegas and some fat on one "hard keeper" I now have.
If you don't want to "feed" anything, you can offer free choice minerals in a mineral feeder. Horses will eat as much as they need. ADM makes a good one, "GROSTRONG Minerals". It comes in granular form or a block. Minerals and Vitamins for horses.htm
There are lots of other free choice minerals out there too. Just start googling!