One of the first posts on the subreddit after Gencon 16 was someone saying that they were trying to assemble their Caho-Ta, but the legs seemed weird, and he was wondering if they were miscast.
I've just done the same exercise, and I thought the same thing. The legs seemed to cross each other way too much and not really fit. But now I've fiddled with it a bit, it seems to me like they do. They're just long and dangly limbs and hard to align properly.
What I ended up doing was pinning the legs three times: Each hoof into the base, for obvious reasons, and then one more pin, set before the other two, to pin the two hooves together.
I feel like the horse is meant to be balancing on effectively one point, and that one point is both rear hooves combined. So to make that point stable and sturdy, pinning the hooves together was essential. The illustration below shows the location of each pin with a red line.