What I decided in the end in my game was: that the Gallop through Sky is associated with visiting the sky world not flying through the air (Greg said this in one of the replies). I decided in the end (in the spirit of YGWV) that the Benyafil's Birds' ability was a feat of their cult. Instead of worshipping Tholm (Heat, Hunting Bird, Tame Bird) I decided there was a sub-cult of Tholm called Tholm Fiery Hawk (Heat, Hunting Bird, Insight)and put a Swooping Flight feat into the Hunting Bird affinity.
In the version of HeroQuest we play now (its at www.halberdgames.com on the Gloranthan Heroes page) what you can do with different magical abilities is more closely tied down and abilities which are more fequently used, have a wider range of targets or more dramatic results cost more hero points to get. So what I would do in your case is make a horse that could ride throught the air an expensive ability as it is powerful and also require that that the horse had enough magical power to perform the feat. IMG it would be more like the kind of ability someone would get on a heroquest.
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