I've done the Horseman random dungeon on 2 chars so far and opened the Loot-Filled Pumpkin inside the dungeon, right after we killed the Headless Horseman. I haven't got the mount, but instead I've got 2 masks, a pet and some candies, which I lost from my bag (except the pet) right after I've left the part and got ported back to the city.
My advise is, firstly, open the bag inside the dungeon (to not risk losing it after party disbands), and if you do get the mount, learn in while still inside, otherwise you might lose it from your bags. This is a temporary bug for sure, but it doesn't worth the shot to lose it and spend lots of time through GM tickets explaining it. From what I've seen, most of the WoW events bring some bugs along with them at the very first days, and Blizzard doesn't actually make up for them any way or another.
So, open the bag inside the dungeon and if you get the mount/pet, learn them before leaving / porting yourself out!
Good luck to everyone in getting whatever you want from this event!
Cheers & Happy Halloween!