I use that all the time. I spread a thin layer of it down on my cement floor, and put pine shavings on top during the summer, and old hay during the winter. I've never had a problem. Makes cleaning easier too
I use it off and on for both my horses and my goats. I put the pellets down, mist them with water and then fluff them up.
However, I don't use the pellets made for horses, I buy pine pellet stove pellets by the pallet (say that 3 times fast!!!!). Way cheaper, at least up here. Just make sure they say 100% pine. Some are hardwood. I don't like the idea that they could have Black walnut in them.