How did Chris know about the horse dying in the fire so quickly? I think the most likely scenario is that word got around quick, starting with Hesh. Don't forget that Hesh had some connections with the horse trainers and the people running the stable. Hesh probably would've been one of the first persons to receive word about the fire. And then Hesh probably would've been trying to contact Tony, calling for him at the usual haunts, like the Bing and Satriale's. Tony was busy with Valentina, and likely not answering his cell phone at that time. So Hesh probably let Silvio know what happened, who then maybe called Chris to ask if he knew where Tony was, since he wasn't answering his cell.
There are many possibilities as to how Chris knew about the horse. I think this is a likely possibility. Tony wasn't the first guy to know about the fire and Pie O My's death. His crew knew before him.