I have had pets die, as many of us have, and I accept that when they are gone, it is merely their body that is left, and I have had no problems with disposal by the vets - never owned a horse so i can see this is not that simple.
I would however donate his body to the sanctuary - he is no longer in it, and it will do some good for animals still living, which is nature's way.
Which ever choice you make must be the one you can live with - good luck with it.