The sound does help to desensitize them.
The sound can also help them when you are trying to keep them in a certain gait. They and you hear the rhythm to keep in step with.
It also can block out some distracting noises. (Admittedly, not much )
And last, but not least, they just look pretty!
I bought mine at a horse fair booth for about $7.00 a piece. They are really long. They go around the horse's neck and rests about midway down the chest. They are attached at the mane with a clip.
If a person was into beads you could make one yourself and add feathers, horse tassels and of course, bells.