They step on that one a few times, scare themselves and run around the paddock with the lead 'chasing' them and spanking them a little, until they figure out that if they stop it will not keep chasing and spanking.
I do see that you've done this progressively, said you make sure the horse is OK before taking it further, but for the sake of people that don't understand the importance of that, I want to emphasise that bit. And also that allowing it to go to a level of significant fear can lead to problems, such as Jaydee mentioned - for one, it's not a *reliable* way to desensitise & may just cause the horse to be more afraid. Discussing 'flooding' & the likes on the (marathon length) 'Willing Compliance' thread too...
I have unfortunately caused terror in a horse a few times myself, in the name of 'desensitisation', such as when I was working on a station, learning how to 'break' horses, and the idea then was the 'buck 'em out' method; tie the little handled horse up, down, around... so he can't possibly escape, put the saddle on & do it up nice & firm, then let the horse loose in the arena to buck it out until he 'accepts' it. Then do the same with a rider... that's not likely to come off(I didn't fit that particular part of the bill, thankfully!), then pronounce the horse 'green broke'. That is but one eg of 'flooding' & disregarding(or actually meaning to cause) serious fear in the name of training. Won't go into detail, but I strongly disagree with doing this.
As with the above eg, where a horse may never get over that initial fear of being saddled/ridden, I've also seen horses who were mortally afraid of ropes and trailers, for the same sort of reason - it's just been forced upon them until they 'gave up'. While they may well give up, it's not the same as *learning* to *accept* something, and down the track it might take very little to 'suddenly, out of the blue', trigger that panic reaction again. And bad things can happen in the process of this 'training' too - I've seen horses with ropes 'chasing' them run until they fell down in exhaustion(then eventually get up, see the rope move & do it all again!), run through fences(that one mangled her legs in the process) and jump gates onto public roads. I've seen horses in trailers try to escape through the little 'escape doors'(never leave them open unattended!!!) or through the front windows(unfortunately attended a horse with terrible injuries from that one, who subsequently had to be put down), or turn & try to jump the tailgate in trailers...
So I reckon it is VITAL in whatever you're working to desensitise your horse to, that you use 'approach & retreat' methods, to push their 'boundaries' just a little at a time, and work gradually towards whatever goal, to avoid causing significant fear.