No, it doesn't hurt. xD Depending on the horse, a saddle is sometimes more comfortable, and having the stirrups makes it a lot easier to stay on and in control. But this is a well-behaved horse and I was too lazy to put the saddle on her. Too much hassle for a couple photos. =3
That's why I titled it with 'stolen' actually! Because horses you own legally in Skyrim have saddles.