I don’t believe any horses were killed and there is no documented proof of it.
Nor is it so that a horse falls down and that’s it, horses do fall and most of the time with little or no injuries. Bronco may be referring to race horses that are raced at very young ages, way before their bones are fully developed so of course they are way more fragile than the horses that are used for theatre.
It’s also true that race horses are treated very well. I think Nipsey Russell said it best about race horses. Have a listen.
http://clitchat.com/datr.html