Were the runs with same persons?
Anyway ive went in now 3 times HM and saw horseman (ran there two times quite fast to run to first level and check first groups)
With my main character, I completed the three runs of the dungeon as described above. Only humans in the group, no heroes*
Then, with all the other characters in my account (with heroes, no humans) after unlocking the Hero (after finishing the dungeon once) all time Horsemens.
But I think that having someone in the group who is running the dungeon for the first time in HM (and therefore hasn't unlocked Althea yet) results in a run without the Horsemen and drop purples in the chest. But also that the player in question has completed the quest or found Duke -> left the dungeon -> returned to HM without having unlocked the hero.
Edit: As you can see from the comment below, sometimes it has the opposite effect 