is it dangerous...

I wouldn't soak haylage. You will speed up the fermentation process if you do which can be a danger to your horse. So if you really must soak it then you should feed it after a short soak, rinse very well and only do small amounts at a time.
 
It's a fermented product.

You certainly shouldn't soak it as could encourage harmful pathogens like Clostridia/listeria which have been hiding away in pockets and would love a bit of water to breed in.

Theoretical risk though, even if this occured and said pathogens started multiplying, you would be very unlikely to accumulate significant enough numbers for any problems.
 
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