The farm I bought my mare mixed the pellets and textured! Guess they couldn't decide either! I currently feed pelleted, Purina Strategy. But, I am thinking about switching to a supplement (Barn Bag by Life Data) mixed with whole oats and of course, hay.
I've been feeding pelleted feeds for years and really like them! The only problem I have had with pellets is my yearling has choked twice on them. He eats fast, then they become lodged in his throat and expand. I've fixed the problem by soaking his feed before he eats, of course that was two emergency vet bills of $300 a piece later!!
It could be alot.. picky eater, what the horse does best with, if it's a high strung horse you really wouldn't want to put them on a really textured feed with molasses in it and all the sugars. I've seen horses that can't handle textured feeds because they will choke on it so they have to have soaked pellets. My mare won't keep on weight with just a textured feed so I mix the pellets and she's too picky to eat just pellets. She'll eat half her feed and walk off.