[Eru]

The reason is because the horse was blue and not in your guild. The game doesn't keep track of guild member's horse vs not guild members horse when doing criminal checks.

If you use Razor, you can have it show that you're criminal in the title bar of UO.
There's also an option to have it query you before performing criminal acts.
Also, when recalling into town and you have any question about whether or not you're criminal, you can click yourself to see your own name color.