Haven't had it, but just read about it:-0
Signs for deficiency in mild cases might be increased susceptibility to disease, due to a depressed immune system and/ or decreased fertility in breeding stock.
Severe deficiency, far less common, is characterized by weakness, impaired movement, difficulty in swallowing, impaired cardiac function and respiratory distress. Tying up also. White muscle disease in young foals.
Smart book says to find selenium levels in your soil, I.e. pasture, and where your hay is grown. There are areas where there are "pockets" of toxic or nearly toxic levels in the soil, most of the US and Canada are deficient.
"Because of the toxicity threshold of selenium is so low(between 2and5ppm), you should be aware of the selenium content of your local soils( and thus, your pasture and your hay) before you choose a vitamin E-mail and selenium supplement or a selenium-added feed for your horse". Even a mineral block needs to be checked. Your local agriculture extension specialist, co-op or feedstore is the best source of info.
(Source: "Understanding Equine Nutrition", Karen Briggs, revised edition 2010