You don't need to use the horse; I don't because it makes the character to use fast travel and I don't fast travel. As for the chest, it's not that weird that it contains your belongings, is it?

The idea behind this beginning is to give you a past, meaning that you already have some experience as... whatever the background you chose for your character. Something that is missing from all TES games in my opinion and all rpg alike. You might find that your character is a big strong at first but things will re-balanced themselves fast enough and it won't be long before you find an opponent that gives you hash times.

Anyway, you should try it and make an idea for yourself.