The elephant grass used for bedding is actually a variety of miscanthus, which is also a popular ornamental grass popular amongst gardeners (I have 5 different varieties of miscanthus sinensis (Morning Light, Strictus, Zebrinus, Silberlieder, Silver and Gold -- I love it).
My horses have never shown the least bit ofinterest in it, although they are generally kept away from the garden beds.
HOWEVER...
The name of elephant grass is also used for pennisetum purpea, which is considered at least mildly poisonous to horses.
These are two distinctly different grasses, so just make certain that you are using miscanthus and not pennisetum.
(This is why I dislike popular names for plants...oftentimes they are used for multiple plants and make it difficult to research.)