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Sure, I will do that from time to time. However, by intervening in the situation in this way, you putting yourself on very slippery ground. Sure, you won't be "saying no", but you aren't as far away from railroading as you seem to think when you say to a player, "You don't want to do that." or "Your character wouldn't want to do that." In my case, explaining the situation to the player would have been functionally equivalent to saying, "If you do that, I will see to it that you die." I don't see that as being really different than saying, "No." Asking a character to make a choice under duress isn't giving them real freedom and real choices. It's saying, "See, you can either do what I want you to do and go along with my story, or else I can make things really hard on you, understand?" That's a railroad, and you'd recognize it as such if it was written into a module.
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So long as the player has the opportunity to understand the consequences of his choices as his character would, I agree with the above. If the player thought muscling a guy for his horse was only as bad a say stealing a bicycle in the modern world then not informing him of the obvious expected consequence robs meaning from his choice. In my mind, a meaningful choice is one with consequences where the consquence is plausible and can be understood by the person making the choice.
Armchair quarterbacking is easy and fun though so I'll add my two cents.
Asking for a Knowledge (Local) DC 5 check so that the player understands the ramifications of horse theft as well as other members of the society do would be reasonable in my mind especiaily if the player is new the the milieu and the character is not. Succes has the side benefit of informing others at the table about the expected risks in their companion's behaviour and they can decide their courses of action in the event the player continues his direction (like objecting and preventing the robery, turning him in, killing the rider, or getting of of Dodge before the law hears what happened).
Switching the result doesn't inform the player about the milieu and societal norms and bulids false expectations into the players because past experience doesn't track well with expected results. In this case, the false expectation (Intimidate doesn't work well) can be buried in the large set of unknowns that affect the victim's response so little harm was done.