Yes mostly that some horses will attack, "play" with and even kill sheep. Also usually working a dog around horses to move sheep often turns the horses demented regardless of how good they may be with dogs normally.
I successful grazed the two together for years. Put a block at side of water trough so sheep could reach to drink. If feeding horse in field used a hook on bucket on fence to prevent sheep stealing feed. Had a taped off area that sheep could go under to get away from horses when they were having a hooley, so they were safe from being trampled. Both co existed very happily for many years. When sprayed sheep against fly strike, kept them away from horses for a while until spray all dry as one of my horses liked to groom the sheep and I wasn't sure whether the chemicals would be toxic to the horses.
If you put salt/mineral licks in the field make sure they are ones that are safe for both horses and sheep as horse ones can contain too high levels of copper for sheep.
Mine usually graze in rotation but have lived together before
Sheep cannot have copper so field salt licks should be plain
Sheep do need bits and minerals but their blocks are usually molasses based. A yellow rockie brick will do but ideally they should have access to a decent molasses bucket lick sometimes - perhaps while horses are bought in for riding?
As above its best to keep separate for a short while after chemical treatments
Sheep act like they are starving 99% of the time and will push and push for food. I always separate for feeding as my two ponies also like their feed and while a hook on manger works there is too much risk of injury while pawing and defending food from the sheep that are surprisingly active when it comes to feeding time
Sheep can chew horses tails
Water - the sheep have low feed buckets in tyres and the ponies have a higher trough. My sheep will not drink water that is in the tiniest way dirty so using the buckets makes things easier
My sheep will not eat hay once its touched the ground (I think this is reasonably common) so there is a lot of wastage (that they sleep on!) so some thought as to a safe way to feed hay that works for sheep and horses is needed