According to GM Miravia, this isn't a bug. Saddlebags cannot be placed upon a horse. According to her reasoning, when you appraise saddle bags you can see that they are wearable over the shoulder and as such they are functioning as intended. Yet, you can wear a saddle over the shoulder AND it can be placed upon a horse.

I see two possible fixes for this strange little problem. Either make saddlebags placeable on a horse (which may cause a problem depending on how horses are programmed), or make a slight change to APPRAISE that would reflect items which can and cannot be placed on a horse, such as this:

>app my saddle
The saddle is fairly hard.
It appears that the saddle can be slung over one shoulder or placed on a horse.

/me salutes