Shearing a horse removes its horse armor and saddle. I have not tested this in previous versions but attempted to ride my horse around to shear sheep and it just sheared his armor and saddle off.
Comments 2
This is an intentional change as stated in the 25w20a changelog.
Removing Saddles and Equipment
Saddles, Horse Armor, Harnesses and Carpets can now be removed from the mobs they can be equipped on by using Shears
That's how it works, that's a feature from 1.21.6