Freyfaxi, if you are mixing breeds or intend to mix breeds, it is best not to dial them both up to full, but instead make sure your breed mixes total 1.
On getting the mane, tail, and fetlocks to conform to the Shetland pony like they should. First after loading the horse, if you did not use the horse preload that loads all with either short or long mane, drag and drop from your poser library to Harry, the mane, tail and fetlocks.
Then with either horse, with the horse selected inject the Shetland morph, then SELECT the MANE and inject the Shetland Mane fit (There are two fits in the Shetland Pony file for each item so make sure you get the right one). Then SELECT the Tail and inject the Shetland Tail Fit, and finally SELECT the fetlocks and again inject the Shetland Fetlocks fit.
If this does not work when you dial up the Pony in the Body of Harry, then I suggest selecting the mane/tail/or fetlocks and going to figure, conform to and make sure that Harry is selected, if not, select Harry and apply/accept. In PP2012, when I did this the misbehaving item would automatically snap to.
These steps are how you deal with any of the Breed morphs for Harry, and in truth would allow you to add a breed to a horse previously selected. For instance, let's say I loaded from the character's library, the Shetland Long Mane load all (or whatever it is called as I don't have it open here) and then decide I want a bit more beastly to my pony. So I go over to Poses, then into Harry to Breeds and into each piece separately one at a time, I inject the Beast breed morph. Once all injected I should be able to go back to the pony's body and dial down the pony a bit and dial up the Beast, getting me a much more buff and hard working pony for my troubles.