Tiffany, you are right. On p. 90 of the British edition is the first mention of Horace. Tiffany talks earlier about Miss Treason wanting the cheeses she makes coated black, but Horace has been a problem, and a champion Lancre Blue with strange qualities from the beginning.
I suppose the real question is why Terry created Horace in the first place? I guess that he makes a perfect pet for Daft Wullie (one of the more prominent of the Feegles). I think he's one of the comic elements that Terry puts in this book, though I find him more odd than funny.