Whenever I get a “why does my horse (or dog, cat, bear, turtle…) do that,” my response is the same…because it feels good! (Or at least, better than other options!) The behavior of head-turning in your friend’s horse is being reinforced somehow. It may be that your friend pats her head sometimes, or smiles, or maybe even just removes the pressure on the reins. You noted that your horse stopped doing the behavior, which indicates that it was no longer being reinforced.