Just remember, they really don't have much feeling in their roots of the mane, so all they feel is the tug on their neck, but not so much the hair being pulled. Whereas with humans, we have such sensitive heads, so we really feel it.
On the subject of eyebrows, I've always had mine waxed, and it gets easier and easier everytime.
Most likely it's the same principal for the horse, when you pull their manes. At first, they may be concerned about why their neck is being tugged on slightly, but eventually it's no problem.
It makes it tidier in the sense that when you cut it, there's sometimes rough edgy spots, and pulling will straighten that all out and make it flow more naturally.
"You're just as sane as I am."~Luna Lovegood.