I've found it a few times I've got off my horse having my repeater and shotgun/rifle equipped to having nothing, and entering missions with just pistols as well. It's a real pain in the backside.
A few niggles for me have been committing crime even while wearing a mask and then having a bounty put on me, or the mask being worn before a cutscene only for it to disappear after and not noticing until you're wanted
Cant you go to gunsmith and choose weapons to holster each time you get off the horse? There is a custom option when you talk to the gunsmith and you can shoulder host weapons instead of always having to chose them from the menu system.