I heard this at scout camp in 1965, last song of the night at campfire. Even then, and recognising that this sort of song exaggerates to make a point and plays for the pathos, something didn't seem right about it. Let's look at the last lyrics more closely.
He'd-a-made it but he just couldn't leave old Dan.
Yes, they found him there on the plains
His hands froze to the reins.
He was just a hundred yards from Mary Ann's.
There is no hint here that he has made a serious miscalculation of judgement, much less a horrendous moral error. Gee, the poor guy is trying to be loyal to his horse and it somehow just sorta went wrong, y'know? But in what moral universe do you decide to leave your wife a widow out on the plains - in winter, no less - because you chose the pony instead?
I'm betting actual cowboys were smarter and better than this. Damn, I hope so.