I think many have a neighbor such as you describe...
Not everyone is sensitive to horses or that what they do for fun may effect those horses.
My horses also watch firework displays...they are not crazy about the screeching ones, but they are not freaking out either.
Loud noises, well...not far from us is a active mining operation where loud booms and crash sounds occur all day long, with dynamite blasting every few weeks and the horses don't care.
We have a freight line train track near my friends place, noisy is a understatement when the train comes through...her horses pasture is next to the track as the train whizzes by, the ground shakes and all kinds of noises happen, they don't care.
Are you over-reacting...could be.
My fear would be fire if it is so dry, like tinderbox dry but otherwise by the time the remnants drop from the sky they are no longer usually lit embers.
I personally when the fireworks happen go out and throw some hay to my horses in their paddock...if concerned with falling debris feed them under a shelter of whatever you have.
My horses are pretty chill and actually hang at the fence with the neighbors horses who use mine as their security blanket and if mine get excited then hers are nuts crazy..
Food and eating are great distractions for my horses...
Your neighbor has every right to his hobbies and enjoyments...just as you have a horse not everyone might be fond of smelling or hearing.
Most places do have "quiet-hours" normally starting around 10 - 11:00 PM till 6 - 7:00AM...if he's doing this stuff that annoys you during those quiet times you have reason to make a complaint, otherwise no.
Horses are very adaptive animals...use that to your advantage.
Personally, on a night he was illuminating the sky I would grab a chair and sit outside enjoying what he is shooting off...a night of free entertainment with social distancing yet in place.
I might actually be so bold as to go to him and ask if he is going to do more and when so you could be prepared to enjoy the pretty sky displays, yet quiet your fears of what if too...
If fireworks are illegal in your area...you have a right to make a call.
Just remember that you can start a tit-for-tat situation with disgruntled neighbors so how much you want to report for disturbing the peace is totally up to you....