Cancelling the EntityUnmountEvent does not stop all of the effects of unmounting. This can most obviously be seen in this snippet of code from EntityHuman:

 The EntityUnmountEvent gets cancelled inside of the call to this.stopRiding(). However, even though the entity doesn't get unmounted, their shiftKeyDown value gets set to false. Additionally, the entity won't tick for that tick because the tick call (this.rideTick()) is in the else statement. This means if you are forcing a player to stay on a horse, that player can hold the shift key, and their position won't update on the server. This means mobs won't target the player correctly, new chunks won't load/deload around the player, etc.